554 5.7.1: Recipient address rejected: Access denied trying to email a new Microsoft 365 group

My organization uses Microsoft 365 with Sophos Central Email Security as the email filter.  I need to create a new distribution group that can receive email from outside the company.  I've tried creating it as a Microsoft 365 group and as a regular distribution list.  Both times when I try to email the group from my yahoo.com or gmail.com emails, I get the above error message.  I've looked in both Email Security's Message History and in M365's message trace and I don't see my test messages in either location, so I can't be sure what it blocking the emails.  I can email myself from my yahoo.com or gmail.com email account so those accounts aren't the problem.  How do I tell whether it's Sophos or M365 blocking the emails and why they're being blocked?