We have a MSSQL database where we use PowerDesigner domains which then translate to user-generated data types.

E.g. we have a "CreatedAt" domain, or a "GuidIdentifier" domain. They inherit from datetime and uniqueidentifier respectively.

When I run reverse engineering on the database, all columns that have domains as their types simply get skipped. Also, GUIDs/uniqueidentifiers are just matched as strings.

Can you please advise what I can do about this?

You'll need a user-defined type (as you probably know already, given your title).
Unless you have read up on them, I suggest you do so; if you have read up on them, I suggest asking what exactly is unclear to you.