As of May 21, 2021 mxHERO has made available an automation tool that will configure your O365 domain as described here (part 1) and in part 2. To use this tool you should have your O365 admin credentials ready (username, domain, and password) for authentication by Microsoft.
Once this step is concluded, proceed to the second step, setting up a Transport Rule.
Access Exchange administration within the Office 365 dashboard and navigate as follows while setting the indicated sequence of values:
Mail Flow > Connectors > New Outbound Connector
Close and Save! Your Outbound Connector is ready to be used.
Proceed to Step 2: Configuring the Transport Rule