Microsoft does NOT perform a true synchronization between on-premise and 365 Exchange. As a result, there are many settings that can only be changed in AD or on-prem Exchange. When creating a user you must follow these steps.
On-Premise
1) Create the User in AD
2) Create the Mailbox in on-prem Exchange
3) log in to the mailbox as the user and set the time zone
365 Admin
4) Wait for the mailbox to Sync
5) Add an Exchange license to the account in 365
6) Migrate the account to 365
7) Test inbound and outbound as the user