Yahoo Hosting Does Not Support Separated Subdomain Email

I have a Yahoo Small Business account and for many reasons I want to set up mail server for my sub domain (ie: mysub.mydomain.com). My main domain mail (mydomain.com) is hosted at Yahoo because I believe that Yahoo server is have less downtime and power outage (CMIIW) 😀

I tried to add and MX record (for subdomain) at domain control panel but got no result. Nslookup returned that no MX record found for my subdomain. Even I waited for the next 24 hours (in order to provide much time for new NS record broadcast), still no result for the MX record.

After got stuck for more than 2 days, I contacted Yahoo Support and they said that I can not set my own MX record for the subdomain, unless I want to manage all mails to my server. This is not what I want. I just want to manage emails for subdomain.

My correspondence with the support continued and after talking with the technical team, they send me email said that this feature is not yet available 🙁

I have three options now: host emails at Yahoo, or manage my own mail server, or not using email for subdomain. Mmm..

Any suggestions?