We also have this issue - we have a reverse proxy (via an IIS application) that is used to enhance the D365 UI (including multilingual capabilities - see https://www.linguaskin.com/applications.aspx?c=d365a#crm. Since this needs to be on a web server outside the D365 cloud, we need D365 to be able to support a custom URL.

At the moment, our solution works, but we have to 'proxy' the whole AD authentication process in order to get the return_uri to come back to our custom domain - ok, but we'd prefer to not need to do this.