Change Proxy Address to O365 users

I got an  error when try to add proxy address to user in O365.

The operation on mailbox "User" failed because it's out of the
current user's write scope. The action 'Set-Mailbox', 'EmailAddresses', can't
be performed on the object 'User' because the object is being
synchronized from your on-premises organization. This action should be
performed on the object in your on-premises organization.

We have migrated all mailboxes to the O365 cloud and removed the onprem Exchange servers.???