Hi, and welcome to WPCentral!
You'd think so, wouldn't you. But the answer is "no". An O365 account is not a Microsoft Account, for the purposes of Windows Phone (or indeed any of the Windows 8 properties).
So you've got two choices -
1. Create a MS account that matches your
myname@company.com.
2. Create a new MS account (outlook.com) and then sync your
myname@company.com as a normal Exchange or O365 account (tip: if you use Sharepoint on O365 then choose the latter option)
Option 1 works (I've done it) but it can lead to some issues in getting the two to co-exist (especially if Windows 8 is also involved), and as and when MS decide to federate the two platforms in the future it might cause further issues
Option 2 has the downside that any store purchases will be linked to your outlook.com account rather than
myname@company.com (you can choose not to sync the email for that account and hide it's calendars, but there's no control over the store connection)
I used Option 1 for a while and did get it to work quite happily, although I had the advantage of admin/powershell access to the domain. My recommendation would be option 2.