Thank you for reaching out.
Based on your reply above, did turning off the DNSSEC on your domain registrar help in resolving the issue?
Since we did not hear back from you. I am just posting this as answer for anyone in the community facing similar issue. Please feel free to add any details if I have missed any.
The error received EDE=9 (DNSKEY Missing)
as documented here and as correctly guessed above means this domain did not pass DNSSEC validation. Since Azure DNS currently does not support DNSSEC as documented here the DNSSEC on the registrar should be turned off.
The DNSSEC feature is tracked in the Azure DNS backlog. Use the feedback site to register your support for this feature.
Hope this helps! Please let me know if you have any additional questions. Thank you!
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.