Hi Perry,
I understand you would like to add a second domain to Office 365. However, you are required to point Name Server records to Office 365, and cannot skip step 5 in Add a domain wizard.
Given this situation, I suggest you temporarily point your first domain’s Name Server records to Office 365 to complete the wizard of adding the first domain, and then you can re-point the first domain’s Name Server records back to previous addresses.
After you complete above process, you will be able to add the second domain.
Thanks,
Jacky Ding