Your box’s reverse DNS is currently my domain.uk, but it should be box.my domain.uk. Your ISP or cloud provider will have instructions on setting up reverse DNS for your box.
How do I do this on Gandi when the nameserver points to my box server?
The OP @TimK is talking about rDNS and @openletter is talking about Glue records. While both vital they are completely different things!
@TimK is your question due to the message on the status page? If so, you need to change your rDNS or PTR record with your VPS provider. This has nothing to do with Gandi. Who is your VPS provider?