Where is the Microsoft 365 DNS set up page?

Question

The name servers of my domain are already at ns1~4.bdm.microsoftonline.com.

I want to set up Microsoft 365 for my domain. It is now at the Start setup stage. (There is no DNS Records page.) The set up says, correctly, that "We detected your DNS hosting provider is: Microsoft 365". But it insists on asking me to add a TXT record to prove I own the domain.

Isn't surrendering the name servers for my domain to Microsoft solid proof that I own the domain? Why does it want me to verify again that I own the domain?

How do I add the TXT record, or any other DNS records? How do I update DNS entries when my name servers are already with Microsoft?

I am stuck.