When we create the relationship between Office365 and the service, we create new domains in your Office365 account so that your Teams users can connect to our service. Microsoft assumes that because a domain has been added, certain setup steps need to be completed in relation to the services they offer.

What do I need to do?

Nothing. You can leave these new domains in their current state as they are not being used against any of the services that Microsoft list as requiring them. Even though the domains report the setup as incomplete, they HAVE been validated and there are no further steps required.

If you DO feel you want to complete the setup, perhaps for aesthetic reasons, there is no harm in doing this. All you need to be aware of is that you should ensure you do NOT enable the domains for any of the presented services.

Do not enable the domain for any Office 365 services