Sophos Email Gateway and Outlook AutoDiscover

Hi All, I'm currently setting up Sophos Email Gateway with one of our office 365 Domains, for some reason I can't get the outlook autodiscovery setup to work. 

Were using Office 365, I have changed the MX records for the domain to point to Sophos, I have also added the auto-discover Cname (not mentioned in the Sophos Documentation). The Sophos documentation does not mention how to set up the domain inside 365 so I've got it set up as if it was using exchange online protection but just changed the MX records to point to Sophos. I'm not using Microsoft name servers rather I'm using our name provides name servers. If I use the Microsoft name servers I cannot change the primary MX record, it always has to point to the exchange online protection address.

Mailflow works fine, and is filtered in Sophos, pre-existing outlook installs work fine as well as webmail, just can't seem to get outlook to set up new accounts. Is there a trick to getting it to work?

Thanks for the help all.