Communication with MX records

I have a short question about the topic of MX records. Let's say, we have multiple mail servers in DNS records. If someone is sending a mail, the outgoing mail server will check the MX and contact the first server with the lowest cost. Let's say that is an exchange server. If this server doesn't have the requested mail address, what happens then? Does the outgoing mailserver send the message to the second mailserver in the MX record? Or does that depends on the error message by the first mailserver? And how does exchange handle messages to "unknown addresses"?