Hi Guimer,
What you thought is right, we need to add required DNS records for Exchange Online. I’d like to confirm some information:
1. Which plan are you using, Office 365 for small business and professionals (P Plan) or Office for enterprise (E Plan)?
2. Are you using the primary domain (domain.onmicrosoft.com) or the custom domain?
If you’re using your custom domain, you can follow the steps below to view the required DNS records:
1. Click Domains on Admin page.
2. Select the domain.
3. Locate DNS records, you’ll be able to see the DNS records.
For Exchange Online, you need to add a MX record, a CNMAE record and a SPF (TXT) record. The MX record identifies the mail server to which email is directed. The CNAME record (Autodiscover) can let Outlook clients connect to the cloud-based service by using the Autodiscover service. And the SPF record is used to help prevent email spoofing and phishing.
For your reference:
Use a CNAME Record to Enable Outlook to Connect
Thanks,
Young Yang