Apex domains cannot have CNAME records.
Question and response
Question
dig privatelink.msidentity.com. NS
Answer
privatelink.msidentity.com. 5 NS ns4-32.azure-dns.info.
privatelink.msidentity.com. 5 NS a5-65.akam.net.
privatelink.msidentity.com. 5 NS ns2-32.azure-dns.net.
privatelink.msidentity.com. 5 NS a9-66.akam.net.
privatelink.msidentity.com. 5 NS a28-64.akam.net.
privatelink.msidentity.com. 5 NS a1-115.akam.net.
privatelink.msidentity.com. 5 NS ns1-32.azure-dns.com.
privatelink.msidentity.com. 5 NS ns3-32.azure-dns.org.
Authority
The response has no authority records.
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0