Thank you for sharing the process screenshots.
I noticed in your process that the steps for configuring the CNAME and ALIAS records were missed.
I'm sharing the Microsoft documentation, which includes a video explaining how to set up CNAME, TXT, and ALIAS records step by step. Please give it a try.
Set up a custom domain with external providers in Azure Static Web Apps | Microsoft Learn
Thanks, Srikanth Reddy Bandi