source: https://techcommunity.microsoft.com/t5/microsoft-365/add-my-domain-to-365-without-email/m-p/1627304
Create a new connector in office 365 exchange admin “Add connector”
Create a connector from “Office 365” to “Your organization’s email server”
Give a valid name and keep the haeders
Choose “Only when i have a transport rule …”
Next add the external mx records
I kept these settings
Add a test account and validate the settings with an email
Next create a Mail flow > rule
With the following settings
Enforce this rule and enable it