I just sent an email from my MacBook using the new alias and checked my network, the request was sent to p60-smtp.mail.me.com. That is just a CNAME for smtp.mail.me.com so the standard SMTP server.

That is a good point. So far I've had issues with third part apps and logging in when using custom domains. They don't seem to like using the custom email address as the username and have no functionality to accept an custom alias. So far I've only used iOS Mail and the beta.icloud.com website to send email which works well.