Hi Ariwa,
Based on your description, I would like to confirm more information:
What’s the plan do you use? The plan for Small business or Enterprise?
If you use the plan for small business, you can change the Name Server records to Office 365.
You can refer to: onlinehelp.microsoft.com/.../gg584174.aspx
If you use the plan for Enterprise, need to add DNS records to domain register. You can refer to:
onlinehelp.microsoft.com/.../gg584188.aspx
If you have verified the domain correctly. You can delete this MX record safely.
Thanks,
Anna Shi