How to properly add CNAME record required by Azure

Hello
I have a .com domain registered in ovh and trying to bind it to static page hosted in Azure CDN. It requires me to add CNAME from mydomain.com to mycdn.azureedge.net, but when I'm doing this I'm getting error:

> This sub-domain is already using a DNS record. You cannot add a CNAME record due to an incompatibility issue. Please delete the existing records for this sub-domain to add a CNAME record.

And I get a list of 6 records that are here by default: 2 NS, MX, A, TXT, SPF.
I tried to delete them, but get other error about lack of NS record, so I reset whole DNS.