I have an hosting account that manages all my domains on Bluehost. Buddypress/WPMU is in a subfolder on that account and not the primary domain. I wanted to take another domain and point it to a Buddypress blog but it kept showing the Primary domain, not the Buddypress domain or the blog within buddypress.
This is probably really obvious to all the clever clogs developers out here but I'm not one of them.
I mucked around with A names and Cnames and Parking and goodness knows what else forever and ever (about 4 hours) and finally figured out that I should IGNORE the "If your domain name includes a sub-domain such as "blog" then you can add a CNAME for that hostname in your DNS pointing at this blog URL. If you want to redirect a domain you will need to add a DNS "A" record pointing at the IP address of this server: blah.blah.blah.blah" message
All I had to do was go to CPanel, click Domain Manager, select my new domain name and point it to the main subfolder that WPMU was in. Once MyBlog.com was pointing to Buddypress.com, it found xyz.buddypress.com (set up in Tools/Domain Mapping).
I think under other situations and maybe on other hosting services you have to do that other stuff in Simple DNS Zone Editor (cpanel) but I just wasted time in there.
Hope this helps someone :) - and yes it's really obvious. Now. :P