Just tried it with a test domain. Few points:
The DNS instructions aren't great. If you don't understand what you're doing you'll probably struggle. I expect Apple will eventually add specific instructions for the most common DNS providers (e.g. GoDaddy, Namecheap, etc.)
There's no option for a catch all. You must add individual aliases.
It seems to have issues adding e-mail aliases with fewer than three characters.
aaa@mydomain.com is fine.
aa@mydomain.com is a no-go.
If you're not currently using the domain for e-mail don't bother adding the e-mail addresses during the initial setup. It'll ask you to respond to a verification e-mail sent to the address you're adding. Obviously you won't receive these messages. Skip that section and move on to the DNS settings.