Because like you they are unaware that they should use the reserved top-level domains 'invalid', 'test', or 'example'. See
http://www.faqs.org/rfcs/rfc2606.html.
'smtp.my.domain' will force a root server lookup in order to discover that the TLD 'domain' does not exist, thus wasting resources (and you can't be certain there will never be such a TLD). A lookup of 'anything.invalid' will return an immediate failure.
Using things such as 'mydomain.com' on the assumption that no such domain exists is a very bad idea. If you _must_ use 'something.{com|org|net}' use 'example' as it is reserved.