When creating an Office 365 subscription you need to add different DNS records. For the Lync Online you need to add some CNAMES and SRV records. At some DNS providors this can be a little misleadning what to right for the SRV records.
For the Danish DNS provider Gratis DNS you need to type the following in the SRV record box for the two SRV records:
Host: _sip._tls.impact.co.dk Data:sipdir.online.lync.com Prioritet: 100 Vægt: 1 Port: 443