Apex domains cannot have CNAME records.
Question and response
Question
dig appproxy.msidentity.com. NS
Answer
appproxy.msidentity.com. 5 NS ns4-35.azure-dns.info.
appproxy.msidentity.com. 5 NS ns1-35.azure-dns.com.
appproxy.msidentity.com. 5 NS ns2-35.azure-dns.net.
appproxy.msidentity.com. 5 NS ns3-35.azure-dns.org.
Authority
The response has no authority records.
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0