As you correctly mentioned above, nothing will change until you update your DNS records. Azure as a (set of) service doesn't care about Exchange at all. Microsoft 365 does, and if you sign up for an M365 tenant, you will get a default tenant.onmicrosoft.com domain. You can then decide whether to add your custom domains, and in the case of Exchange Online, whether to consider the domain as "authoritative" or "internal relay": https://learn.microsoft.com/en-us/exchange/mail-flow-best-practices/manage-accepted-domains/manage-accepted-domains
While the "add a domain" wizard will insist on changing all DNS records, this step is totally optional and up to you. Until you are ready to change your DNS records, the only thing that will be affected are internal emails sent within the M365 environment.