Is the MX record of your domain pointing to your on-premises Exchange organization while the user mailbox you mentioned above is hosted in Exchange Online?
If both are true, it's actually the expected behavior. As in this scenario, inbound message will be delivered to on-premises Exchange server and then the on-premises Exchange server performs a lookup for each recipient using an on-premises global catalog server. When the global catalog lookup determines that the recipient's mailbox is located in the Exchange Online organization and has a hybrid routing address of ******@contoso.mail.onmicrosoft.com, it will deliver the email to either ******@contoso.mail.onmicrosoft.com account or the primary domain account.
Reference: Transport routing in Exchange hybrid deployments.
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