On the Select services page in the Office 365 setup wizard, you choose Outlook, Skype for Business Online, or both. This lets the wizard show you, on a later page, just the DNS records you need to set up.
Why isn't there an option on this page for SharePoint Online? There are no required DNS records to use SharePoint Online, so it's not listed here. (If you have a SharePoint Online Public Website, you can set up DNS records to use your domain with the website following separate steps that aren't part of the Office 365 setup wizard.)
More about the setup wizard
In the setup wizard, you first verify to Office 365 that you own the domain name, and then you set up users and DNS records for your services. One option is to set up your domain's DNS records yourself. (Another option is to have Office 365 set up the records for you. In that scenario, you're not prompted to select services.)
When you choose to add the records yourself, you're then asked if you're using Outlook, Skype for Business Online, or both. And depending on what you select, the wizard shows you (in a later step) a list of just the DNS records you need to add.
Tip: You can get step-by-step instructions for adding the records by going to Create DNS records and clicking Help for your domain's registrar.
I don’t see DNS records for some services on the DNS management page
You might see DNS records for only some services listed for your domain. That’s expected if you didn't select all of the Office 365 services.
To see the DNS records for a domain:
Sign in to Office 365 with your work or school account.
On the Manage domains page, select a domain in the list, and then, on the right side, click Domain settings.
For example, if you selected Skype for Business Online and not Outlook, you won't see (in the setup wizard and on the page where you manage your domain) the DNS records you update for Outlook. These include the MX record to send email to Office 365, a CNAME record to set up Autodiscover, and so on.