Hi Dave,
Before moving on, I would like to confirm the detailed information about this issue.
1 If you set MX record point to Office 365 in registrar or you point the name server to Office365?
2 Does “A record is blocked by spamhaus.” mean when the office 365 user send email to other email system, NDR returned with the error message?
At this situation, could you please provided your domain information and NDR report for us to troubleshoot? I have sent message as Private Message to you and you can reply it.
To see the private message:
1. Please go to "Your details" section on the right side of the community site.
2. Click Private messages.
3. Click the subject title <Please provide the information> of the response to read the message.
Thanks
Johnny Zhang