I can complete the process, but already found a few bugs
1. When you add a new domain and email address(es) associated with the domain, it also adds Aliases for that email in "mail" so that you can select those email addresses as "form". However, if you delete that email address from the domain and add it again, it is not added as an Alias anymore and you cannot send emails from it anymore. So basically, you can add any email only once
2. The first email added to the domain cannot send email. The emails get stuck in "Draft". The second and third email addresses work fine.
I have 3 domains now setup on iCloud.