A record for MX identified server

Question

So I am in the process of migrating from on premise to Exchange Online. I stepped through adding my custom domain and all looks well. During the process, the Microsoft page updated my MX and SPF records on Cloudflare, but there was no A record for the mail server created. So for example, the domain is "mydomain.com" so the MX record shows as "mydomain-com.mail.protection.outlook.com". However, if you do a lookup for mydomain-com.mail.protection.outlook.com, it results in no record being found. I contacted Microsoft support and they state that Cloudflare is supposed to create the record. But how would Cloudflare create the record if the authoritative DNS servers for that zone are ns1-proddns.glbdns.o365filtering.com, etc.?