question

All the domains you want to route messages through 365 must exist in 365, so you would need to add and verify all that are needed. - even if just routing to on-prem.

Hi @GavinRoss-3568

Agree with Andy, and below are some official document introduces about the Exchange hybrid mailflow, mail flow using a third-party cloud service with Exchange Online for your reference as well.

Transport routing in Exchange hybrid deployments

• If you change your MX record to point to the Exchange Online Protection service in Microsoft 365 or Office 365: This is the recommended configuration for hybrid deployments. All messages sent to any recipient in either organization will be routed through the Exchange Online organization first. A message addressed to a recipient that's located in your on-premises organization will be routed first through your Exchange Online organization and then delivered to the recipient in your on-premises organization. This route is recommended if you have more recipients in your Exchange Online organization than in your on-premises organization. This configuration option is required for Exchange Online Protection to provide scanning and blocking for spam.
  

• If you decide to keep your MX record pointed to your on-premises organization: All messages sent to any recipient in either organization will be routed through your on-premises organization first. A message addressed to a recipient that's located in Exchange Online will be routed first through your on-premises organization and then delivered to the recipient in Exchange Online. This route can be helpful for organizations where you have compliance policies that require messages sent to and from an organization be examined by a journaling solution. If you pick this option, Exchange Online Protection will not be able to effectively scan for spam messages.

Also note that: Don't place any servers, services, or devices between your on-premises Exchange servers and Microsoft 365 or Office 365 that process or modify SMTP traffic. Secure mail flow between your on-premises Exchange organization and Microsoft 365 or Office 365 depends on information contained in messages sent between the organization. Firewalls that allow SMTP traffic on TCP port 25 through without modification are supported. If a server, service, or device processes a message sent between your on-premises Exchange organization and Microsoft 365 or Office 365, this information is removed. If this happens, the message will no longer be considered internal to your organization and will be subject to anti-spam filtering, transport and journal rules, and other policies that may not apply to it.

Manage mail flow using a third-party cloud service with Exchange Online

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Thanks, probably just going to go with a new tenant.

Thanks,
Gavin