Thank you Neo,
We already have several domains (including the one used in the "TO" address) as "Internal relay domain"
I need to find out where the emails are going!! they seems just to disappear!!!!
By the way, we have an update: not all users on-premises aren't receiving the emails from Office 365. We counted two accounts so far.
The common thing between these two accounts is they used to have an Exchange enabled on thier Office 365 before we create an email for them on our on-premises Exchange. And although we've disabled their Exchange feature on the Offiice 365 they still unable to receive emals from online users.