Earlier quoted context omitted.
Ehhh, mailgun is NOT relaying the mail.. Their MTA is accepting the message and re-publishing it via a webhook HTTP post to the mailgun user's configured webhook URL(s).
right... and if any single user's implementation has inbound mail cause outbound mail, merge variables or multiple RCPT lines will likely cause this user to be an arbitrary mail relay using that user's auth.
Not sure how that would be the fault of mailgun or how spf/dkim validation enforcement on their end would help with poor design decisions of their clients.