First, are you trying to do it as outlined in this support article? Change your Apple Account primary email address - Apple Support
I wouldn't use an iCloud address for an Apple ID. If you have problems with your account, Apple will be sending rescue information to an address you can't get into.
I don't know the exact meaning of that message. To me it sounds like Apple doesn't want you to use the iCloud address from another Apple Account to be used as the Apple ID for a second account. This would make sense since according to Apple you only really need to be using a single account for everything. Read this support article about Apple ID Frequently Asked Questions --> https://account.apple.com/faq
"How many Apple IDs do I need?
Just one. Use the same Apple ID everywhere you sign in to ensure that all your Apple services and devices work together seamlessly and you can access your personal content from all your devices."