Apologize for the inconvenience with this issue! I have internally checked; the product team is aware this issue and at this time “Transfer in” is not officially supported. Recommend you keep the domain where it is and just use Azure DNS if needed.
To add to this you can use the below API call to change the sub account the domain is set up to in your API account.
PATCH/v1/domains/{domain}
Update details for the specified Domain:
{ "locked": true, "nameServers": [ null ], "renewAuto": true, "subaccountId": "string" }
You can replace the subaccountId string with the new account number.
Regards-