Be careful, I had my domain with outlook.com's predecessor, then when moving to a hosted exchange option made the mistake of trying to close the account instead of simply moving my domain records and leaving be.
I can never, ever, use me@mydomain.com as a Microsoft account ever again.
I faced that issue when reconfiguring it on outlook and it is very annoying. The only thing we can do is wait 3 months ( they flush off the account, as they say ) or just make sure you delete all accounts first and then close that account if you hadn't.
I can never, ever, use me@mydomain.com as a Microsoft account ever again.