Microsoft having a blessed registrar brings the risk of very poor support if you have any issue using other registrars.

Even if they do problematic changes, as long as it works with GoDaddy you’ll have no ground to get your issues fixed.

I found some info on setting up DNS for other providers, but it isn’t officially supported and for something as important as email I don’t want them randomly breaking it one day, which they could since they expect all customers to be configured through their API integration with GoGaddy. No need to advise in advance of MX host changes etc when it’s supposed to be entirely managed by them.

I understand their target demographic here might not be super technical, so the deep integration with godaddy makes sense, but would be nice for a supported advanced user pathway too.