I've just tested it and confirmed 100% it works. Here's the setup:
123-Reg (mydomain.co.uk) nameservers point to my usual CPanel nameservers
In my hosting management (I have a reseller account, so outside of CPanel) I added the following DNS records
Then, in afraid.org I added a domain called exch.mydomain.co.uk (So note that afraid.org never gets to know about the top domain) and added records as I required.
So exch.mydomain.co.uk currently returns 4.2.2.2 which I've only set in afraid.org
Oh, nice that makes sense. So it is definitely possible with access to the zone file.
Which I don't have access to since I only have a basic plan, and I don't think it's possible via the Advanced DNS Zone Editor either (I can only use the Basic DNS Zone Editor currently). Thanks for looking into this!