outbound

Hey Kennedy Dzah, Welcome to Sophos Community.

Can you share the snapshot of your configuration? Is this a local Exchange or any other mail server that the UTM is securing? Where do you get this error?

This indicates either your TXT record isn’t properly published yet or you might have entered it incorrectly.

Can you share the snapshot of the DNS record configuration via PM? 

Moving this thread to Sophos Email forums 

I can share with you a link so we can do a conference call for me to share my screen with you 
If only you are ok with it

You have not added the Host/Name for this TXT record it appears.

Add Name, TTL and Type TXT in your DNS record.

Example: 

like this?

For Name/Home, Instead of your domain name, you'll have to add the Name specified in the central. Check the snapshot above as well I have highlighted that field.

is this right 

Yes, Seems about right. The test-check should be successful now