One more thing I noted:
the wizards and Tab like "Domain Settings" or "Domain Troubleshooting" are working well at another account I own.
The only different though, I am aware of, is that the Office365 account I am having trouble with, is a TRIAL (90 day trial of P1).
The one that I am having a valid license for, is working as expected - also in the DNS delegation section.
Can you confirm that behaviour?