Sophos Central Email gateway and exchange hyrbid setup

Hi

I have just signed up for Sophos Central Email gateway so I'm after a few pointers and recommendations on setup.

I currently manage an Exchange Online Hybrid setup (Exchange Online > Exchange 2010) with Azure AD Connect. So mailbox management is done on-premise and exchange distribution lists are managed and hosted on-premises as well.

What is the recommended setup for Sophos Mail? Do I need to point our MX records to Sophos mail? Are there any repercussions for the distribution lists being on-premises? 

Thanks