The DNS is at Cloudflare.
The setup wizard gave me the choice
1) Set up my online services for me. (Recommended)
Next, you'll update your name server DNS records to give Office 365 permission to set up the rest of your online services.
2) I'll manage my own DNS records.
We will provide a list of DNS records that you will need to add for your domain at your DNS hosting provider.
I selected 2 because I am also using mailgun.
I have added 3 DNS records as instructed by advice at portal.office.com The MX and TXT records verify quickly when I add them
However the CName record does not verify
I get the message
Some DNS records are missing. Please make sure you have added them correctly
for host name autodiscover with value autodiscover.outlook.com
The record shows at Cloudflare DNS as
What could be wrong?