Hi Jon,
First, precisely which service(s) are you attempting to use in Azure? I ask because, you tagged your question with Azure App Service, however, your screenshot shows Microsoft Entra ID. These are two different services, and each has its own procedure for verifying custom domains.
Verifying your custom domain for Entra ID would be for the case where you want users to be able to sign in to Azure portal/Microsoft 365/etc. using username@yourcustomdomain.com instead of username@yourcustomdomain.onmicrosoft.com
Verifying your custom domain for Azure App Service is used for the case where you want to host your website/webapp in Azure and have people be able to navigate to it using yourcustomdomain.com (or [www.yourcustomdomain.com]) instead of yourcustomdomain.azurewebsites.net.
To verify your domain for App Service you need to navigate to your web app in the Azure portal -- Settings -- Custom domains blade, add your domain, add DNS record to verify, etc. I checked your DNS records and you don't have correct record in place for verifying [www.yourdomain.com]. Normally you would NOT verify [www.yourdomain.com] with Entra ID. You do have correct record in place to verify yourdomain.com with Entra ID, however, based on your screenshot you are not attempting to verify that.
Additionally, it appears you do not have the correct DNS records in place to verify your custom domain on App Service.
Please reply back with information requested above and I'll assist you further. I'm familiar with your registrar so can help you with instructions there if needed.
Thanks.
-TP