Great info, I followed the screenshot details luke the support engineer gave above and it worked perfectly.
So just to be clear you need to add the following records exactly all separately in Netlify Domain / DNS Settings section
CNAME add 5 records
MX add 1 record
SRV add 2 records
TXT add 2 records
10 records in total should be created inside Netlifys Domain / DNS settings section.
From the GoDaddy, email panel choose a host as “OTHER” from the dropdown list because GoDaddy does not list Netlify as a host
Add the 1st CNAME
Add the 2nd CNAME
Add the 3rd CNAME
Add the 4th CNAME
Add the 5th CNAME
Next let’s add the following records too
Add 1 MX record only
OK so in the value: below you need to add your domain before the .mail.protection.outlook.com
A few more dns records to go add the following
Add the 1st SRV record
Add the 2nd SRV record
Now lets add the last two TXT records
Add the 1st TXT record
Add the 2nd TXT record
Value: v=spf1 include:spf.protection.outlook.com -all
OK now we have added a total of 10 dns records inside Netlifys Domain / DNS settings section.
Go back into your GoDaddy’s email setup panel and click test DNS.
After the above is done, follow the onscreen GoDaddy instructions to complete your email setup.
Then you will be redirected to Microsoft Office 365 outlook login window.
Please be aware if you get an error 500 when logging into your new Office365 outlook email this is because it will take some time for the full DNS propagation to complete normally within 24-48 hours so keep checking back and try to login to your new email via the Office365 outlook panel.
I hope this information helps you as it helped me.