Should I be able to see outbound emails? Currently, I can only see inbound.
If you use an internal mail server e.g. Exchange for sending e-mails -> you have to config the Sophos UTM internal IP as smarthost there and you have to allow host based relay on the Sophos UTM for your mail server / exchange host. Than you´ll see inbound and outbound mails using Sophos Mail Manager.
Thanks guys but I've now been informed that we are moving to Microsoft 365 and off our Exchange server.
Maybe you should not turn of your onPrem Exchangeserver, see here:
Why you may not be able to decommission on-premises Exchange even with cloud solutions | Born's Tech and Windows World (borncity.com)
Also with O365, you can use your sophos smtp-proxy with hybrid configuration, and yes maybe an cloud smtp-proxy would be a good way, too!