The first 2 work, fine, but the last one doesn't. I either get nothing back or a 400 error.
I'm currently using GoDaddy and created a CName so that "cdn.ootii.com" maps to "az149892.vo.msecnd.net". I've verified using ping and a couple of sites that cdn.ootii.com does redirect correctly.
one interesting note when pinging "cdn.ootii.com" and "az149892.vo.msecnd.net", they tend to swap IP addresses back and forth every couple of minutes. The same 2 addresses, just they swap every couple of minutes.
Have you gone through the verification steps for your custom domain? (As a reminder, if you did this, then at some point you would have created a CNAME record with a GUID pointing to verify.azure.com, and then you would have gone back to the portal to finish