I am using SparkPost as my sending mail server. When the site was in my development server I have verified the sending domain by making a entry to the DNS from the WHM panel.
Now I have deployed the website in Microsoft Azure. There I have created a DNS Zone then followed same step for domain verification but it seems not be working fine here.
It's hard to figure out what is wrong there for not recognizing what you've tried. However, you can verify sending domain by following the steps below.