This has just happened again. I'm creating a service request with Microsoft again as this is urgent, but I wanted to flag this up here again because I find it hard to believe that we're the only ones seeing this!
We are a Microsoft partner and have seen this happen several times for multiple customers. I believe it is related to running the setup wizard again where it wipes out and resets all DNS records. It should definitely KEEP any custom records during this process. I am working on the issue again this morning. With the last customer, we moved them back to GoDaddy DNS hosting so it won't happen again. I also noticed you cannot add any custom SRV records to the 365 DNS.
Just be careful clicking the "DNS Management" option when working with a domain. While it seems like this is where you should go to manage DNS, it takes you back through the setup wizard for a domain that is already in the "Setup Complete" status.
Just for reference we went through all the possibilities and the setup wizard wasn't the problem. According to Microsoft they resolved this issue but it proved not to be the case with us. It was also never publicly noted so there's record of what was wrong or what was fixed.
Happened to me this week also. Wednesday, 11am, all records disappeared. Funny thing was the tech on the other end of the phone could not see the new records as was adding back and after about the 4th new custom records, the system would delete all again when I added a 5th record.
Only way to make it work was to re-run the dns setup wizard - as done when you first set up your account.
The thing that upsets me the most is that MS claims this is not possible - as if it has never happened before and tried to pin it on me. I was in the car driving when it happened and I am the only admin for our organisation.