MX record improperly adds domain name to protection.outlook.com
I'm trying to setup Office 365. I need to create an MX record for mail.protection.com
It should be: example.com MX 0 example-com.mail.protection.outlook.com
But the domain name is automatically added to the end of the record example.com MX 0 example-com.mail.protection.outlook.com.example.com
Is there a way to prevent this domain addition at the end of the record?