the only way, I see to avoid this is to provide different priority to your MX records.Is there a solution to this problem, other than disabling greylisting in PMG?
abc.com IN MX 10 pmg1.abc.com
abc.com IN MX 20 pmg2.abc.com
abc.com IN MX 30 pmg3.abc.com
It has its own "cons", but may speedup mail delivery in your case.