@Joyce Shen - MSFT I realize the conversation went silent so you didn't get to continue helping, but what you stated is exactly what the OP said wasn't working. I've found the same to be true in multiple Exchange Hybrid environments (different customers/organizations altogether).
Exchange Online's OWA doesn't seem to redirect people to the TargetOWAUrl that is set on the EXO-based Organization Relationship, the way that it is supposed to. Instead it just tells the logging in user that no mailbox exists or user is missing the license. Is this maybe something that was missed in the new Outlook on the Web that is exclusive to Exchange Online?
It seems reasonably likely that it was a missed feature in the new OWA.