According to the error message, what you need to do is set up a CNAME record to pointing to your Azure app's default domain for your domain registered at your domain registrar's own management tool (e.g. Azure DNS, GoDaddy, etc.).
If you registered your domain name with GoDaddy, please follow the steps blow.
- Log in to your GoDaddy account.
- Click on your account icon, then navigate to Manage My Domains.
- Select the domain you want to manage, under the Action section, click on the Manage DNS button:
At the Records section, click Add and select CNAME from the drop-down list.
Complete the fields, then click Save button.
- Now, go back to the Azure portal, and validate your hostname again.