AKA, why would having a third party filtering service in between be a problem?

While migrating from on prem to 365, I am preparing Retain to talk to 365.   
I've gone through KM000016705 for that part of the integration,

but running through the Docs, I get a fail on Get the SMTP Server URL (Office 365 Only)#

That test, and its fail, does not make sense to me.  This client loves the service they've had with Barracuda, wish to retain it, and I've seen no other reason why it doesn't otherwise work.  So far this 'failed' test is the only issue, and it appears to be a Red-herring. Mail does flow through Barracuda into 365 just fine.

I'm ready to proceed, ignoring that fail. It sees the correct MX, it just complains that it isn't Microsoft's (One Ring/Thing/Vendor in the dark to bind them and rule them all)