An integrated threat protection solution designed to detect, investigate, and respond to cyber threats across Microsoft 365 services.
onmicrosoft.com address is given as a starting point, so you can configure your tenant as you prefer. You need to connect your domain to Microsoft 365 tenant you just created and then to configure primary email address for all users.
Follow this article on how to add custom domain: https://learn.microsoft.com/en-us/microsoft-365/admin/setup/add-domain?view=o365-worldwide&tabs=domain-connect