They seem to provide raw headers in the JSON payload, and if they don't, they also have another mechanism where you can do the MIME parsing yourself.
https://documentation.mailgun.com/en/latest/user_manual.html...
Either of those two should allow you to do the SPD/DKIM/DMARC validation on your own.
I wouldn't call this a security vulnerability.
At best, is a lack of functionality on their part, where a (reasonable) wish would be that they as a email receiver would perform the SPF/DKIM/DMARC validation and provide the results of that check as headers or other metadata.