Relay Email Traffic from Sophos XG to Exchange Online

Good evening everyone,

I am wondering if something like this is possible with the Sophos XG Firewall.

We are hoping to have a scenario like the following.

MX Record is pointing to IP of Sophos > Sophos XG performs email scanning and protection > email then is forwarded or relayed to Exchange Online.

Biggest reason for wanting to do so is that the current Exchange Online license E3 only provides basic email protection and we already pay for Sophos XG which has better protection regarding spam and a number of other nice features. I understand that we could by pass Sophos XG and go directly to EO but the costs for the advanced email protection are not warranted.

Is the above possible or am I SOL and should go the better Office 365 license route?

Edited TAGs
[edited by: emmosophos at 6:41 PM (GMT -7) on 6 Sep 2021]