How to suppress an unwanted external Autodiscover lookup?

Your options are limited on a Hosted Exchange.

Having said that, you can test your Exchange Autodiscover services externally using ExRCA tool from Microsoft.

https://www.testexchangeconnectivity.com/

• Check exchane autodiscover.
• Plugin your values. You can paste the ExRCA output here with return codes for further analysis. Please obfuscate your domain and other private data before posting in a public forum.

hth

There is a very good chance that the actual Domain name is pointing to a web server that is using cpanel. If you don't provide the auto discovery records at the registrar level or in the cpanel account then you do get this message from the cpanel autodiscovery service. I have resolved this issue by creating an a record for autodiscovery pointing to the ip address of the exchange server.