By default cpanel do not allow you to setup an Addon domain which is not pointing to your nameservers, and to solve this problem you can change the setting in “tweek setting” in WHM.

You can login to WHM, and click on “Tweek Setting” in left side bar.

   Then click on “Domain” tab, and select “Allow Remote Domains” to “no”, default setting is “Yes”

   This guide will help you to manage your own cpanel server or vps.