Jon, I think I figured out your complication with DNS and what must have been a point of frustration. You registered two separate domain names, one with GoDaddy, and the other with DynDNS, when in reality you only needed one. If your original domain name was registered with GoDaddy (I'm assuming this is the case), then you could have just change the Name Server records on GoDaddy's page under the DNS settings to point to DynDNS's name servers which are: ns1.mydyndns.org, ns2.mydyndns.org, ns3.mydyndns.org, and ns4.mydyndns.org.
Once you have delegated your domain to the DynDNS name servers then you can register your Custom DNS with DynDNS. During registration you just enter in the same domain name that you already have registered over at GoDaddy. Then in about 15 minutes after registration DynDNS will realize that it has "received delegation" for the domain name. At this point you can just edit the custom DNS settings, and everything will be simple. One domain name controlled from one place.
The only hard part still though, and there is no way around it, is that you can't register a PTR record. This means that if you try configuring your Exchange server to use DNS for SMTP that many servers will reject your mail due to a failed reverse lookup. The workaround for this is to configure the send connector to use your ISP's SMTP server. Back about a year ago when I had this setup I just used mail.comcast.net.
Hope this helps Jon!