Take a look at the basic third-party set-up info here and DNS troubleshooting guide for CNAME entries here as it might help you solve your issue.
"Your domain records may be green or red, depending on the DNS information our system receives from your domain provider." This means the error's in the domain providers' DNS manager not in Squarespace.
It can take up to 72 hours to connect domains too. Is it within that window? Just a thought...
Another hint with some providers in their DNS manager is to not have "." (as in ext-cust.squarespace.com not .com. )
If you’re using a CNAME record to point a Squarespace subdomain, follow the steps in our pointing guide instead.
Also try:
https://support.squarespace.com/hc/en-us/articles/206541757#toc-extra-records-in-the-dns-settings
Hope there's something there that helps you identify your issue.