How to use Azure DNS server to set local CNAME?

The name of a record in a DNS zone should not include the domain name. To create a record called www.domain.com in a zone called domain.com, the record name should be www.

You can create a CNAME record called www in your mytargetdomain.com zone and set its value to cdn.adobeaemcloud.com; this will effectively map www.mytargetdomain.com to cdn.adobeaemcloud.com.

You can also create a record with an empty name; this will map the domain name itself to a target. However, this can only be done using A records, not CNAME ones; you can map a domain name to an IP address, but not to another name.