Are you in hybrid mode? The connectors should have been created automatically.
If your users are on-prem and you want to send out mail through EOP for only those users, that is not possible for on-prem unless you use a third party solution:
https://jaapwesselius.com/2018/04/19/source-based-routing-in-exchange/
https://www.emailarchitect.net/easbr/kb/exchange_server_sender_based_routing.aspx
https://www.ivasoft.com/routebysender2013.shtml