This is how SMTP is supposed to work. As a side note, messages sent with Outlook or webmail using O365 (or Exchange) don't go from your client to the O365 serve

This is how SMTP is supposed to work. As a side note, messages sent with Outlook or webmail using O365 (or Exchange) don't go from your client to the O365 server over SMTP, but your IP address is still shown in the X-Originating-IP header.