@Developer1 oNabu Thanks for asking question! If I have understood right you trying to add custom domain and not free azure managed domain.
To provision a custom domain, you need to:
Verify the custom domain ownership by adding a TXT record in your Domain Name System (DNS).
- Double check if followed below steps-
- To continue verification from Provision Domains, click Configure.
- When you select either Verify Domain or Configure, it opens the Verify Domain via TXT record dialog box.
- Add the preceding TXT record to your domain's registrar or DNS hosting provider. Refer to the TXT records section for information about adding a TXT record for your DNS provider. Once you complete this step, click Next.
- Verify that the TXT record was successfully created in your DNS, then click Done.
- DNS changes require 15 to 30 minutes to take effect. Click Close.
Once you verify your domain, you can add your SPF and DKIM records to authenticate your domains.
Please let us know if issue remains.