Question about focus keyword in URL. Do domain names and permalinks parts of URL have different SEO

Question about focus keyword in URL. Do domain names and permalinks parts of URL have different SEO weight?

I have site www.fascinators.com.au
Naturally, I want to rank for word “fascinators”, so I set it as focus keyword for home page.
RankMath shows an error “Focus Keyword not found in the URL.” and suggest I should use keyword in permalink

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