Signing in with alias – That Microsoft account doesn’t exist. Enter a different email address or get a new account.

I get the error message "That Microsoft account doesn't exist. Enter a different email address or get a new account." when I try to login with an alias. I see many threads suggesting that it is not possible to login with an alias. But it is mentioned that "You can sign in to your account with any alias—they all use the same password. " in http://windows.microsoft.com/en-US/windows/outlook/add-alias-account . Shouldn't I be able to sign-in with my alias?