Hi Mikkel,
I have checked your CNAME record and found the value is an IP address. You need to change the CNAME record back to autodiscover.outlook.com.
After that, I suggest you use Microsoft Remote Connectivity Analyzer to test whether Exchange Autodiscover is working correctly. If yes, please reconfigure Outlook client to connect to Exchange Online.
If the issue persists, capture a screenshot about the error message.
With regard to another question:
An MX (mail exchange) record identifies the server to which email sent from outside your organization is directed. It will not affect the connection between Outlook clients and Exchange Online. You can use CNAME records to let Outlook clients connect to the cloud-based service by using the Autodiscover service. So, your setting is correct.
Best regards,
Jerry Cen