Import and export PST file of the mailboxes will not affect the current status of the mailbox.
After you finish adding domain to O365, the MX record for your domain is updated to point to Microsoft 365 and all email for your domain will start coming to Microsoft 365. And yes, you need to add the smtp alias in O365.
You could refer to the details here:
Add a domain to Microsoft 365 And Domains FAQ
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