Jonny the Okta support answer is wrong.
When you add a domain to O365, using the O365 admin portal, it alters your default domain to the new domain. O365 will not alow you to federate the default domain.
To allow federation to occur, you need to alter the default domain back to "yourdomain.onmicrosoft.com"
For further information see https://support.okta.com/help/articles/Knowledge_Article/38682106-Microsoft-Office-365-Integration-Guide