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We do this and thank God we do. Our marketing emails get down blocked all the time simply because of the scale (and our marketing team is a little over zealous) but after our transactional emails got blocked for the 3rd time we moved all marketing to another domain and gave been happy since.

Would a subdomain, support@mail.example.com, avoid getting your domain blocked while looking more official?

Are you in the demographic that normally clicks on links in marketing e-mails?

It's not about clicking a link in the mail. It's about hitting the reply button in the email client.

You are not average.