A cloud-based service included in Microsoft 365, delivering scalable messaging and collaboration features with simplified management and automatic updates.
If the messages are being forwarded externally and not re-routed back to you, then it should be fine.
If you arent ready to disable direct send then you can use a transport rule in audit mode to see what it picked up.
https://techcommunity.microsoft.com/blog/exchange/what-is-direct-send-and-how-to-secure-it/4439865
Keep in mind that Direct Send is not really a feature or service, its simply means the messages are being send directly to the Exchange Online mx endpoint record for your domain bypassing any mx record you may have for set for a 3rd party service.