Hello @ThorFayad-9505 ,
As your server does not exist so you can use the Set-MsolDomainAuthentication cmdlet directly to convert to managed authentication for your domain . You would need to use the Connect-MsolService to connect to the Microsoft Online service before you can run the below command . As you have already run the script that you linked I believe you would have it already setup on your machine. You can change the authentication for the domain to Managed using the following cmdlet .
PS C:\Users> Set-MsolDomainAuthentication -Authentication Managed -DomainName contoso.com
PS C:\Users> Get-MsolDomain
Name Status Authentication
---- ------ --------------
xxxxxxt.com Verified Managed
xxxxxxxe.in Verified Federated
xxxxxxxxr.in Verified Federated
pxxxxxxx.in Verified Managed
pxxxxxx.in Unverified Managed
This should solve your problem. If you still get any error , please let us know and we will help you further. If the information solves your issue , please do accept it as answer so that it helps other community members. If there is something that I have missed , please do let me know in comment and we will be gald to help you further on this . If you have an unrelated issue , please open a new thread and we will help you further.
Thank you.