We have a “Verify Records” button when you click on a domain in the Domains tab that will confirm that they are set up correctly and if not, show the incorrect records in red.
You could also use dig in your command line interface.
Keep in mind that when you update your DNS records it can take several hours for those records to propagate.
Also, each DNS provider is different when it comes to adding or modifying DNS. Best to check your provider's help section to ensure you are adding Mailgun's values correctly.