In order to set up the Custom subdomain, head out to the Customer Hub (go to hub.frontify.com or select Help>Customer Hub when you are working in Frontify). You can submit your under the 'Ecosystem' section.
Setting this up requires the active involvement of your IT department.
For any questions, reach out to the Frontify Support Team at support@frontify.com
Note: this feature is only available to customers on an Enterprise plan. See here to learn more.