When you use Exchange Online Protection or short EOP, the standard setting to drop off spam messages is the Junk E-mail folder. When using this setting it looks that your messages are already in your mailbox and for some people that’s a scenario they don’t want.
A better scenario might be that all the spam messages are delivered in a quarantine box. People get notified when a mail is received in that box with the opportunity to release it if they want to.
Step 1: Change standard setting for Spam Delivery
Go to Exchange Online Admin > Protection > Content Filter. Double click on Default. Go to Action and change the setting to …
Step 2: Set End-User Notification
Go to Exchange Online Admin > Protection > Content Filter. Select Default. On the right side of the screen you’ll see Configure end-user spam notifications.
Step 3: Administrator Manage Quarantine Box
Go to Admin > Exchange > Protection > Quarantine
Select the message, click on the envelope and chose the option you want.
Step 4: End-User Manage Quarantine Box
When a user gets a mail in the quarantine box, he will get notified and chose to deliver the message anyways by clicking a link within the mail.