Hi Frank,
I have run a test from my side, there is a workaround for you. Let’s say the cloud object has this email address: pf@domain.com. Please consider the following steps:
1. Create a proxy address for the cloud object, such as pf@mail.domain.onmicrosoft.com.
2. Create a mail contact at on-premise side with a primary address of pf@mail.domain.onmicrosoft.com and a proxy address of pf@domain.com.
As a tip, please filter the on-premise mail contact since it can be synced to cloud with error occurred.
Thanks,
Jason Jiang