It isn't clear what the problem is but understanding the basics may help. Don't worry about sharing an ip address - that's typical of hosting accounts and very few sites have dedicated ips. Requests for a domain will go the server (ip address) and if your site is hosted there it will be found.
You have a domain registrar and a domain host.
The domain host is where you add records that point your domain to different hosted services.
If you have a Small Business account and change nameservers to 365's, MSFT becomes your domain host and the records you need are added automatically.
For most people it's better to leave the domain hosting at your registrar (also called "parking" the domain). This gives you more flexibility and genuine support.
.If you describe your ideal set up and plan type, it's probably an easy fix.