Hi,
The problem has NOT been resolved. In my previous post I just meant that our forwarding has been set @domain.onmicrosoft.com and has always been that way. It has never been set to @domain.microsoftonline.com or any other domain, I just remembered the address wrong.
I went through the steps you suggested previously but could not generate any Non-Develiry Reports/error messages.
I any case I have now changed the MX records at my hosting provider to point to Office 365 to test whether the issue is in the mail forwarding or in Office 365. I'll report how it goes...