If you want to connect your domain with Microsoft 365, we recommend the following procedure:
In order to use Microsoft 365 with your own domain, you first need to validate that you are the rightful owner of the domain. This ensures that no one is trying to use your domain for Microsoft services without authorization.
This validation is done via a so-called TXT DNS record for your domain. You will receive the required information for this TXT record in the Microsoft 365 admin console. How to add a new TXT record is described in this article: How can I manage my DNS records?
Afterwards, Microsoft will show you additional DNS records that need to be added—such as MX, SPF, or DKIM records.
More about DNS records: What types of DNS records are there?