A Catch-all mailbox is generally used for catching messages that aren't sent to a real or valid user:
https://www.techieshelp.com/create-a-catch-all-mailbox-in-exchange-2013/#:~:text=So%20what%20is%20a%20%E2%80%9CCatch,exist%20in%20your%20Exchange%20organization.
If you want ALL messages then:
A mailflow rule will do that
Create a mailbox ( and set the quota to a large value)
and BCC all messages to it.
Adjust as necessary