You set a domain purpose for your domain when you’re adding it to Office 365. This is a selection of services that you plan to use with your domain.
Office 365 uses this information to show you the list of just the DNS records (such as an MX record) that you’ll need to create or update at your DNS hosting provider website, so that Office 365 services will work. Knowing which services you’re using (based on the domain purpose), Office 365 shows you only the DNS records that apply to you, keeping the list shorter and less confusing.
I don’t see DNS records for some services on the DNS management page
You might see DNS records for only some services on the DNS management page. That’s expected if you set your domain purpose to only some Office 365 services.
Tip To see the DNS management page for one of your domains, go to Admin > Office 365 > Domains, select a domain, and then click Manage DNS.
For example, if you set your domain purpose to Exchange Online, you’ll see, in the Add a domain wizard and on the DNS management page, only the DNS records you have to update for Exchange Online. These include the records to send email to Office 365, set up Autodiscover, and so on. Based on the domain purpose, Office 365 (in this scenario) shows only the records for Exchange Online, not for the other services, such Lync Online.
I can’t choose SharePoint Online together with Exchange Online and Lync Online for my domain purpose
You can’t choose these options together because of the way DNS works. But you can use your custom domain with your SharePoint Online Public Website as well as the other services. You just have to take some extra steps.