We ran into a problem with having too many items in our SPF record (I believe the limit is 10) and also had to add a DMARC entry because they were all going to spam. A couple of people have reported minor issues, but it's better than every single notification going to spam, as it was when we first turned it on.
Read the directions carefully. It explicitly says not to use your community domain for the email. We created a special one for notifications & subscriptions.
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