If you're going strictly for mail and with no other network services are associated, then Camelot is quite correct and you can use an MX, and enable virtual hosting within the mail server.
If you're doing "other stuff" with that domain, then you'll need the zone.
Given the usual fondness for, well, "incomplete" questions and for server configurations and networks that, um, "evolve", then the answer I'd use is "yes"; add the zone. (If for no other reason than somebody's eventually going to want a web server with the domain, or...)
I'm not a big fan of split-horizon though I can and do use it for specific cases. I prefer to partition "inside" from "outside", and that avoids this quagmire.
And FWIW, "example.com", "example.org" and "example.net" are RFC-reserved domain names available for posting obfuscated examples and questions, for documentation, and related use. "company.com" and "company.org" are real and registered domains.