Microsoft 365 features that help users manage their subscriptions, account settings, and billing information.
Thanks for doing the research - your directions are clear.
On the same microsoft.com page Karl referenced, I see that "Outlook.com currently does not support DomainKeys Identified Mail (DKIM) or Domain-based Message Authentication, Reporting and Conformance (DMARC)." Have you looked at the e-mail generated after completing the transition and checked if any spam protection is enabled? SPF at least?
Does the e-mail show as originating from your domain, or from outlook.com? FWIW, e-mail I send out from my unmodified M365 account shows as coming 'via outlook.com', and is signed by outlook.com's DKIM
I would hope that switching to a custom domain would use the custom domain as the mailfrom address, even if they don't use DKIM to sign it.