Mailgun uses specially formatted Return-Path address to track bounces. But if you use a different service to receive emails this address is not valid until exists on the server and accepts address tags (bounce+something@example.com).
Some info on how Mailgun handle bounces How can the Return-Path header be different than the actual email bounce recipient?
UPDATE: Here is response from Mailgun support
The reason the error messages is due to Sender Address Verification or also known as Callback Verification (http://en.wikipedia.org/wiki/Callback_verification). Mailgun rewrites the return-path tracking soft-bounce. When the recipient tries verify the address return path address, it's not able to verify and causes the error, "No Such User Here" Sender verify failed" There are several solutions to resolve this :
Disable sender verification from the server. (This would require access to the server to disable the configuration.)
The MX records can be pointed to Mailgun for us to verify the address and use a sub-domain to forward the message back to the local server.
Setup the domain authority to resolve to mailgun.org. The down side to this will be "via Mailgun" when sending to Gmail addresses.