I think some get confused with the difference between sub DIRECTORY or sub-DOMAIN and multi-domain hosting.
In my case, I was having problems with a multi-domain setup, meaning, I want to host a bunch of different domains on this wp install. I have installs which are sub-directory or sub-domain and those simply take a wildcard DNS entry IF you don't care that everything for that domain flows to the wp site OR if you have entries for those which should not in your DNS.
I can't use a wildcard because wp doesn't handle all of my sub-domains so I need certain things to go to other servers.
In terms of how I got this to work, which works perfectly now.
I just put the newdomain.mydomain.com into ServerAlias and DNS which gives wp what it needs.
Then, because dashboard is always broken, I went into the settings for each domain and changed the Home to the FQDN such as http://www.newdomain.com, leaving the rest as it is.
Now the user sees their site as they always have, they can log into the admin. From the Network wp, I can now click on dashboard of any domain and reach it instead of being sent out of the main site and into the domain.
And, this also fixed the URL problem in that domains had my domain as their pages and I needed them to have their own domain name, not mine.
All works as it should now it seems.