This is now resolved. Our DNS zone was not yet verified
Cannot map custom domain to CDN endpoint
I have a DNS Zone and have added a CNAME record that maps to my Azure CDN Endpoint resource. It created the verify record as well. I have tried it this way and just by using the ALIAS and adding the ENDPOINT url. This works fine, however when I go to my CDN endpoint and attempt to add the custom domain I get the error message:
We couldn't find a DNS record for '<cname full record>' that points to '<cdn endpoint>'. Before you can associate a domain with this CDN endpoint, you need to create a CNAME record with your DNS provider for '<cname full record>' that points to '<cdn endpoint>'
I can confirm the CNAME record exists and mapped to the CDN endpoint succesfully.