I have a similar problem. Backup sent by email works if I use an external domain (like Gmail), but if I want to send it to the same domain of where my site is hosted, I doesn’t receive anything.
Could it be due to the fact that Better Wp Security notices that the email is part of the same domain, so it doesn’t even try to resolve the IP address using DNS? I have a dedicated email space for my personal domain, which is hosted on another server. So it would be a problem in that case.