Phishing emails not being received by Sophos email

I am trying out the Phis Threat.  I have tried this multipul times, but cannot seem to get it to work.  

To start, I have gone through the entire setup, and I have added the IP's and all of the domains to the whitelist.  The domains are verified.  

I create a campaign, and I have tried sending it to just myself as a test, and to everyone.  The phish threat shows that the email has been sent in the Phish Threat Dashboard and the campaign.  

The email is never received.   I go to my Sophos email security, which is where it should hit first.  There is no record of the email coming in on the logs, and it is not in the quarantine.   I have sent out a test email from the training reminders - automated email setting, and I get that just fine.  When I click on send me a test email from the campaign, it also never arrives.  

In this exmaple, it should be coming from

I check the mail log for inbound to myself and there is nothing there from the campaign.

Not sure what to do at this point

Any help would be appreciated.