Well, its technically not supported in Exchange Online yet:
https://techcommunity.microsoft.com/t5/exchange-team-blog/support-of-dane-and-dnssec-in-office-365-exchange-online/ba-p/1275494
You can verify that your hybrid connector supports EDNS which is required for DNSSEC:
https://testconnectivity.microsoft.com/tests/O365ResolveSmarthost/input