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Return to Mail flow, then connectors.
Add a new connector.
Under Select your mail flow scenario, set the following:
From: Your organization's email server
To: Office 365
Click Next.
On the New connector screen, enter the following:
Name: Skyhigh Security Cloud Email DLP to Office 365
Description: Receives email after they are scanned by Skyhigh Security Cloud DLP
Under What do you want to do after connector is saved, select both of the following:
Turn it on
Retain internal Exchange email headers
Click Next.
On the Edit Connector screen, under How should Office 365 identify email from your email server, select By verifying that the IP address of the sending server matches one of these IP addresses that belong to your organization. Then type a list of all Source IP addresses.
Click Next.
You should now have two connectors, one configured in each direction.