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With thanks to Kaylie Watts for sharing this solution:
" 1. Follow this artice https://community.sophos.com/kb/en-us/131747 to whitelist the Sophos addresses / domains within Office 365 and your spam filter (Mine is Mimecast) - Create the bypass safe links and attachments within Office 365.
2. The 'Open' statistics will not be reported until the tracking image in the Phish Threat Campaign email has been downloaded. Your current email client settings prevent the automatic download of images in emails, so this is why the 'Open' statistic fails to be reported in the Phish Threat Dashboard.
The Safe Senders and Safe Recipients need to contain the Sophos domains in, these can be imported via a text file but the text file needs to be stored in a drive where all users have access to. "