DNS Setup for Hybrid Exchange - Azure DNS configured though O365 wants ns1.bdm.microsoftonline.com?

I have my Domain hosted with Azure DNS and it is parked on ns1-03.azure-dns.com, ns2-03.azure-dns.net, ns3-03.azure-dns.org, ns4-03.azure-dns.info

I added all of the Services Records for the domain though at the end it wants me to change the NS Records for the domain. I hit Ignore and when I go back it it says that Domain  has 'Possible service issues'

then lists these errors
record Found:  ns1-03.azure-dns.com, record Expected:  ns1.bdm.microsoftonline.com
record Found:  ns2-03.azure-dns.net, record Expected:  ns2.bdm.microsoftonline.com
record Found:  ns3-03.azure-dns.org, record Expected:  ns3.bdm.microsoftonline.com
record Found:  ns4-03.azure-dns.info, record Expected:  ns4.bdm.microsoftonline.com

Does not seem like I should be changing my DNS to another Server?
I have 4 other Domains and I didn't have to do that. for them.

Scott TownsendIT DirectorAsked:
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Vasil Michev (MVP)Commented:
Ignore the wizard, it's has not been updated for a while and it cannot account for every possible situation. The NS above are used when your domain is delegated to O365, which is not the case here.

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Vasil Michev (MVP)Commented:
Oh, and even the old *.bdm.microsoftonline.com records are being replaced with the azure ones now, see: https://support.office.com/en-us/article/Changes-to-SharePoint-com-DNS-service-7d4ae748-f504-44c8-b958-c79c1486801c?ui=en-US&rs=en-US&ad=US

So simply ignore the wizard.
Scott TownsendIT DirectorAuthor Commented:
It was this section that threw me. I guess there was too much time between the ones I setup already and the time I set this one up.

Set up your online services
To set up your online services, you'll need to add one or more DNS records to your host.
Set up my online services for me. (Recommended)
Next, you'll update your name server DNS records to give Office 365 permission to set up the rest of your online services.
 I'll manage my own DNS records.
We will provide a list of DNS records that you will need to add for your domain at your DNS hosting provider.

I had selected Set up my online services for me instead of I'll manage my own DNS records.
I went back in and selected I'll manage my own DNS records and the error went away
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