I like to use one SMTP server for all my mail adresses - most are @cboltz.de (which is the server I use for sending mails), but I also have adresses @web.de and @nexgo.de.
Apparently (looking at the headers of your message), you're using KMail as a MUA. It is quite capable of handling different outgoing SMTP servers, so the only reason why not to use this, is if you have no way to deliver messages from your IP address to the relayhost (smarthost) of your ISP. If GMX requires you to use their mailservers for outbound mail, they probably also provide you with a way to use them.
GMX already classifies my mails with From: ...@web.de as spam because I don't use the web.de SMTP server. Hey, cboltz.de is definitively not an open relay and has a static IP, so where's the problem?
Their policy is that you have to use a specific IP range (their outgoing mailservers?) to send mail. At least that is what their SPF record says. gmx.de. TXT IN 300 "v=spf1 ip4:213.165.64.0/23 -all" If you're IP address is not within that range, you're 'violating' their policy and your messages may get rejected. Simply put, you have to abide by their rules or else your messages may be flagged as spam by some systems. And apparently are rejected by GMX themselves.
Additionally, I've seen statistics that spammers use SPF more often than "good" mail servers. (Sorry, I don't remember the URL.) So: Sorry, SPF won't make things better, only more difficult.
"SPF is not designed to prevent spam, it is designed to prevent forgery." You need to read up on SPF, since you clearly don't have *really* understood what it is. In fact, the SPF crowd applauds the use of SPF records by spammers.