delivery.smtp.microsoft.com has no CNAME records.
Question and response
Question
dig delivery.smtp.microsoft.com. NS
Answer
The response has no answer records.
Authority
microsoft.com. 193 SOA ns1-39.azure-dns.com. azuredns-hostmaster.microsoft.com. 1 3600 300 2419200 300
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0