I have had my share of troubles with domain names registered with web hosting companies. Currently I am trying to change name servers for a domain hosted by StartLogic (www.startlogic.com) and let me tell you they are the worst I have ever had to deal with. Their web control panel says I can change the DNS information but everytime I try it says the dns record is invalid. Most web hostiing companies play this same game. They do this to try to keep you from moving web hosting companies.
From past experiences and from this latest one, I cannot stress how important it is to register your domain names with a registrar separate from your web hosting. You will avoid hours of headache, trust me.