If you want to link clients their platforms with your accounts, via a custom domain such as connect.linkmyagency.com follow these steps:

1. Go to your DNS Provider. In 95% of the cases this is the same provider as where you registered your domain name. 
2. Go to your DNS Settings and use these settings to create a new CNAME record:

> CNAME

Ttl
300

Host
connect.linkmyagency.com

Save, and then it should work.