We have subscribed to a cloud Spam filter third party service, so I was trying (as per the recommendation of the Spam filter vendor) to add an second MX record with lower priority to DNS to start with. Our Nameservers are all on microsoftonline.com.
When trying to add the mx record I get the following message
" Adding additional MX records is not allowed when using Exchange email service. To continue adding your custom MX record, you will need to disable first the exchange service from being used by this domain. If your're this record during setup, go back to the previous wizard page, otherwise use the DNS management button details page and reconfigure the services used by your domain."
You just have to follow the instructions provided in the error, this will not disable the Exchange Service. this will only unlink the service from being mapped directly from the Microsoft online DNS.
Then you can add your custom MX records, but before that I'll suggest to backup the current settings like mx, cname (Autodiscover), txt (SPF), dmarc and dkim, in case there will be removed automatically.
You might want to test this system with a test domain first, before routing all your traffic.