Sorry for the delay, but I have been out traveling.
It was not so easy to delete the original domain. Even if everything looked OK in the admin page I had to use PowerShell to see that there was an undeleted SIP account as well. But finally I managed to get the domain deleted.
I then followed your steps above using PowerShell to add the domain, get txt record and finally get it verified.
...but to no success. I still get the same pictures as above. Neither DNS-manager nor Troubleshooting wizard is able to tell me the DNS records I need. :-(
Any other ideas?