macbook air mail: how to configure HELO sent to smtp server?
(I apologize in advance for the wishy-washiness of this answer, but while I hope I'm on the right track, I do have some gaps in my knowledge.)

The SMTP HELO message, while something of a relic, is supposed to allow the client to identify itself to a server.  It is still required for the protocol and is generally expected to at least be a syntactically valid hostname (which yours is not.)  Your SMTP server appears to be complaining because it is indeed invalid.

Mail uses the name of your Mac, or the hostname assigned by the DHCP server on your network.  DHCP servers don't always assign a hostname.  OS X prefers a DHCP assigned hostname over using the computer's name as the hostname.

Based on this, the first place I'd look is my network configuration.  I wonder, if you opened a terminal and typed hostname -f, what would you get?  Possibly

$ hostname -f
mymac.mydomain\.co\.uk


If you do get this, the next step is to identify where it's coming from.  A likely source could be a misconfigured DHCP server.  You can try

$ sudo hostname mymac.mydomain.co.uk


to temporarily change the hostname for testing, or

$ sudo scutil --set HostName mymac.mydomain.co.uk


to set it permanently.