You need to delegate the domain using NS records, not CNAME.
CNAME only "masks" ns2.exacttarget.com behind your SAP domain, but you still remain in ownership of it. Delegating requires your IT team to delegate the entire subdomain, and you can only have your SAP DNS entries managed by Salesforce.
There is a good article here, explaining the details of how this must be done.
If you want to keep hosting the DNS entries yourself, and possibly also have additional records created, there is an option of self-hosting. Here Salesforce will provide you with a list of entries to add to your DNS settings, to have all point to the right domains/IPs. However, if e.g. an IP is later changed by Salesforce, you will be notified and will need to update your DNS accordingly. This will not be needed if the subdomain is delegated.
Here is a "sample" list of settings you need to maintain, if you choose to self-host the DNS.
I will recommend full delegation anytime, as this is a one-off task, and leaves Salesforce with the responsibility of keeping the DNS records up to date.