The Outlook 365 client is looking up the domain on 365 and it cannot find the specified domain, so this fails. To remedy this, please input the following registry keys in the registry:
Locate and then select the following registry subkey (For Office 365, this is Office 16.0)
HKEY_CURRENT_USER\Software\Microsoft\Office\x.0\Outlook\AutoDiscover
Note x.0 in this registry path corresponds to the Outlook version (16.0 = Outlook 2016, 15.0 = Outlook 2013, 14.0 = Outlook 2010, 12.0 = Outlook 2007)
ExcludeExplicitO365Endpoint
ExcludeHttpsAutoDiscoverDomain
ExcludeHttpsRootDomain
All of the above will need to be created in the below format.
Type: DWORD
Value: 1
Name: (As above)
Then restart Outlook or the machine.
To set up the mail profile, rather than using the default splash screen, please set the mail profile up via Control Panel > Mail and input the email and password and press next. No further configuration is needed as Autodiscover is enabled for this domain.