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Please Help - DNS Noob Question

I recently switched from shared hosting to VPS b/c there is no good ColdFusion shared hosting.

My domains are registered through MyDomain. I am using their DNS manager. I have my server's IP address set as the A Name record and the mx record is setup as mail.domain.com with a priority level of 0. Everything resolves properly.

The problem is that some domains (AOL, which, yes, some of my customers still use to my chagrin) are rejecting messages because there is no domain name included in the PTR/rDNS entry.

I don't see where I can enter that as a parameter in the MyDomain DNS dialogue.

On the VPS side, I'm using Plesk which makes configuring virtual hosts and such rather convenient. In the DNS zones dialogue of Plesk, there is a PTR record. The IP address of the server is defined in the IP address field. There is a place to enter a sub-domain. If I put the mail.domain.address in this field I get an exclamation point icon next to the record as though Plesk is upset about something.

I'm cool with SSH, the command line and Linux in general. Plesk is just convenient. Although I have noticed that it's sometimes inconvenient because it uses its templates to overwrite manual changes made to the server.

I'm not comfortable with my  level of DNS understanding, and I don't know at what level the rDNS comes into play. Is it the server or the domain?

Thanks!
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Thanks, they informed me that I needed to do this where my main DNS records are set up. I will go back and press them a bit.
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Thanks!