Like bortzmeyer, I am unfamiliar with the specific requirements of the MS DNS Server's provisioning wizards. It may be that you cannot do it with the wizards, however it IS a legal DNS delegation.
The situation you are describing is a common pattern in DNS administration and there is a name for the records which need to be inserted in the parent zone to assist the delegation. They are called "glue records" and it may just be that you need to put glue records in the parent zone before you can proceed, or there may be some other MS-specific pattern for accomplishing this.
In any case I would recommend you familiarize yourself with glue records and perhaps search your documentation for the term "glue record", as I cannot believe you are the first to encounter this situation using Microsoft's DNS server.