Why does Apple mail only support one icloud address

Seeing that the wording in my question may be confusing, I have rewritten the question to see if that will help to solicit some help:

I currently have 4 Apple mobile phones and ipads and two PCs. They all use my ISP, Cox.net, to get email. All devices also share calendar and contacts using icloud. They can do this because they all use the Default Apple email address, say Default@icloud.com, the same Apple ID username and the same Apple password. One PC uses Office 2016 (Outlook) which accesses icloud with icloud for Windows, the other uses eMClient which accesses icloud directly for calendar and contacts (it needs an app specific password as I use 2FA).

Both PC email clients support three Cox.net email addresses. Lets call them email2@cox.net, email3@cox.net and email4@cox.net, in addition to the Default@icloud.com. Each mobile idevice supports one or more of these addresses. Incoming mail to both PC clients goes directly to the inbox of each address. Each address in both PC email clients comes with its own set of default folders set up by Cox to which email can be dragged or moved to with rules.

I perceive that Apple mail is like Cox. I would like to move all my email to Apple mail and have it work like Cox does. In order to do that, I would eliminate the cox.net email addresses and would enable each PC client to support 3 Apple mail addresses, Default@icloud.com, email2@icloud.com and email3@icloud.com, all with associated sub-folders. Default@icloud.com of course, is a primary address, and as I said, was established by Apple and works on every machine already. However, I have been unable to set up any other independent email address. Attempts to set them up results in an error messages that say the server has been found, but the address is invalid.

Let me say now that I find Apple’s designations of address, domain and alias confusing, which may be the source of my confusion. I think the problem has something to do with a domain issue, or an alias issue or a DNS server issue. If each address can be set up as an independent domain in Apple, that might work for me if I set up folders myself for each address. But I don’t know if this is possible as I am finding the Apple mail system confusing. I tried to set up a new domain, but I got a page in the process asking for information that I could not provide.

I hope this long explanation is clear. I think what I am asking tracks with what many other users would want. Can anyone tell me how I can achieve my goal?

I read this and many other related Apple support documents to help me figure this out. I

set up an alias (email2@icloud.com)to the primary icloud mail address. Can send to it, but all mail only goes to

the working primary mail address on my client. Tried to add the alias address to my client, using a new app specific address, but get an error message that “The server was found, but authentication failed.” Therefore, I can’t have the client distribute incoming mail to each address, and I can’t send from email2@icloud.com.

The confusing set of different instructions from Apple say I can set up a custom email domain, which might work. But, you must already own the domain. The only domain I own is the Cox.net domain, and I don’t want to use Cox. The “ Personalise iCloud Mail with a custom email domain and share with family” instruction also says I can share a new domain with my family members. But I can’t set up family sharing as all my devices have the same Apple username and password.

I proceeded to set up a new, never used, domain but get to a general purpose instruction that asks you to “Update your domain registrar’s settings.” But the terminology definitions, e.g., registrar, mx, txt are unclear and instructions as to what to do with them is also unclear. So I could not go any further.

Can’t anyone, an apple helper, or an icloud maven, write a simple explanation for the ordinary Apple customer on how to do this? Or assess if what I am asking to do is even possible with icloud?