Here's what I did to set up Outlook for Mac client app (Version 16.16) to send and receive from my iCloud alias email:
- Set up an app-specific password in iCloud. This Apple Support thread gives detailed instructions. The step is necessary if two-step authentication is enabled (which it should be!) on your iCloud account. Apple gives you an app-specific password that you can copy/paste into Outlook account setup
- Add the iCloud account using your default (non-alias) email or login ID. Go to Settings/Accounts in Outlook Preferences menu and add a new account. Enter your iCloud account login and paste in the app-specificpassword. Outlook takes care of the rest of the configuration
- In the Outlook account's preferences, change the E-mail address field to your iCloud alias address but leave the User name field as your default iCloud login name
This results in emails sent from the account as the alias address, and the account will receive emails addressed to either the alias or default icloud address. In the Outlook email pane, the Inbox etc. will be listed under the default icloud address.