You need to extend the on-premises AD schema with the Exchange attributes first, follow the instructions (step #1) here: https://learn.microsoft.com/en-us/exchange/plan-and-deploy/prepare-ad-and-domains?view=exchserver-2019#step-1-extend-the-active-directory-schema
Once the schema has been extended, and you have refreshed the AAD Connect schema as well, you will be able to configure msExchHideFromAddressLists and other Exchange-related attributes.