Outbound mail Exchange with Sophos relay

Hello there,

Thank you for contacting the Sophos Community.

Once you have added the relay in the Exchange outbound Relay rule, make sure this is enabled and there is no other rule taking precedence.

Additionally, if your upstream router is acting as an MTA, you would need to either disable it or add the relay for Sophos too. Also, double check ports are open for your Exchange.

Regards,

Tovo RAKOTOZANANY 

Just an additional information. 
relay-us-west-2.prod.hydra.sophos.com does not respond to ping if this is what you are using to test. It responds to SMTP which is in port 25. 
You can test using the command below within the Exchange's windows command prompt:

telnet relay-us-west-2.prod.hydra.sophos.com 25