Hi RTF,
When you set up and enable single sign-on (SSO), users in your organization are able to use their corporate credentials to access the Office 365 service offerings. This removes the burden of managing multiple logon identities and passwords. Without SSO, an Office 365 user would have to maintain separate user names and passwords.
Therefore, if you do NOT have on-premises SharePoint server, you will NOT lose anything if you choose not to use ADFS/SSO. After migrating your Exchange 2007 mailboxes and items to Office 365, all mail data will be hosted in Office 365. The only disadvantage is that, if you do not have SSO/ADFS/DirSync, you are not able to sync your current users in the local Activate Directory and all your colleagues need the new Office 365 accounts while maintain the AD credentials (if they have).
In addition, yes, you are right. You need to deploy DMZ proxy, NLB and FS proxy servers to achieve the Redundancy feature. However, the DMZ zone is not a required component for deploying ADFS, DMZ and Redundancy (NLB) is optional. For the internal access, ADFS server authenticates users' credentials and allow users to access Office 365, the Proxy servers are not used in the internal access scenario. For external access, the only thing we need to ensure is that the Proxy servers can find the ADFS server (sts.domain.com).
In my personal opinion, for your situation, I'd like to suggest you deploy the Directory Synchronization. DirSync does not need ADFS environment and it can sync the password, so your users will have the same credential for Office 365 and internal (even though they still need to type the password when logging into Office 365). DirSync is easier to be deployd than ADFS/SSO, and it could bring considerable benefits.
More information for your reference: Implement Password Synchronization
Best Regards,
Bourne Zhang