If you created a new iCloud.com, you created another Apple ID. You can't use the email address from one ID on a different ID. As the error message shows, you can only use the @iCloud address that is linked to your Apple ID. Log into your current ID and use the iCloud address shown under Reachable At.
Apple ID - Manage
Based on what I have read, I suggest you leave your Apple ID email address as a 3rd party email address because you have more flexibility if you need to change the email address. For example, if the Apple ID got compromised, you can change it to another address. I also have read of many people who were locked out of their accounts when they forgot their password. Since the recovery email address is the @iCloud email address, if you forget your password, you also can't access your email to get emails from Apple to recover your account. You can set a rescue email address, but for some people, this hasn't worked.