DNS can be a bear to work with, for sure. And different companies require different hoops for verifying that you own the domain you want to use. It's typically pretty quick (15 minutes) to get the DNS updates so that Office 365 can make sure that you own the domain. The goal is to help individuals or small busienss owners who aren't familiar with DNS to get all set up without having to figure out MX records, SPF records, etc. So for those people, once they get over the verification hurdle, Office 365 takes care of setting up all the DNS records for them - for email, Lync, SharePoint Online.
For someone who already knows DNS well, they can set up email and the other services themselves, but it's trickier for people who aren't as techie.
So that's the goal, but I'm sorry that the process hit a hitch in your situation. :-(
--Stacia
Office 365 Tech Writer.