I have an issue that seems almost identical to this one (but it was never really resolved it seems),
I am using Office365 email (Exchange Online) - hosted by Microsoft. So my records all point to Microsoft, as per their directions, but it seems that sometimes Outlook is going looking at my “root” domain (root may be the wrong word here, sorry). It is the case that proxy is enabled for my web traffic (i.e. orange cloud), but my root domain is gray (not proxied) … because it shouldn’t be used for anything (www or email related).