I'm not trying to setup a redirect, so the redirect domain suggestion doesn't seem to work here.
The RFC seems to say "if a CNAME RR"... meaning it is possible.
I've dug and asked around with DNS experts and they all seem to agree I should be able to use a CNAME with the second level of the domain.
Is this something that DH just wants to enforce as to avoid possible conflicts?
What I'm trying to do is point a domain to a WordPress MU/MS install that has domain mapping setup. It seems strange to me they would list instructions there on pointing a second level domain to the install using a CNAME if it wasn't possible.