A cloud-based identity and access management service for securing user authentication and resource access
Yes, you will need an on-prem Exchange Server if using AADConnect to be supported. No matter what the steps are taken, if AADConnect or ADFS are being used, an Exchange Server is required on-prem to be supported
https://learn.microsoft.com/en-us/exchange/decommission-on-premises-exchange
that doesnt mean you can't use ADUC or ADSIEDIT to manage accounts on-prem, it just means you won't be supported if you choose to remove the last Exchange Server