Something like this can only be done on an Enterprise Plan, or if you’re using the new DNS Foundations product, which is also probably expensive, as it falls into the Enterprise category. There’s not much documentation on the DNS Foundations product at the moment, though. You’d have to contact Sales if you wish to pursue this.
For the same reason you shouldn’t straddle two DNS systems: The potential to have inconsistent DNS records.
It’s more complicated to manage, it assumes your current DNS provider has adequate DDoS protect, DNS lookups will be slower, it can’t protect the Apex unless your provider supports ANAME records. But it works just fine. Thousands of companies use it.