i do not see any issue here, the same way we do it onsite, as you mentioned cloud has new features, and if you are geolocated maybe take advantage, any way of you use any 0365 this is the best way to move forward.
for reference :
https://www.cisco.com/c/en/us/td/docs/security/ces/user_guide/esa_user_guide_12-0/b_ESA_Admin_Guide_ces_12_0/b_ESA_Admin_Guide_chapter_00.html
Note : you need to allow access from Local users to outside Cisco cloud services for the users to use SMTP and other stuff.