Have you registered the domain? Copying the domain you've given doesn't show as registered.
Looking on whois sites I can't see it's been purchased;
To me that sounds like you've got it on your control panel as a reference, almost like you've told GoDaddy you hold the domain elsewhere but want to manage the DNS with GoDaddy.
I'd login to your GoDaddy control panel and purchase the domain name, it should then be quite easy to link the two together.
Let me know how you get on, it'd be interesting to know.