So the plugin simply makes a single Office 365 account the mail server for your WordPress site. You cannot attribute more than one Office 365 account to your WordPress site, although you can set the plugin to send from a shared mailbox linked to your Office 365 account. However, it can only send from either one of these at any one point (not both), and you need to set which in the plugin settings if seeking to send as another account.
As it makes your Office 365 account the mail server for your website, the plugin therefore tells Office 365 to record any emails sent from your Office 365 account’s mail servers. In the same way that if you send an email from your office 365 web account, it will log that email in the sent folder of said account.
You can of course send an email from your office 365 account to that very same account (as you can with any email account). You’ll just see the sent email within both your sent items and your inbox (as the mail will have originated from the same account).
In the context of your client therefore, you need to be setting up the azure active directory using your Client’s office 365 account details. You then need to be signing into this account when clicking the authorise button within the plugin settings. This will mean that any email sent using wp_mail() within wordpress gets sent from this clients office 365 account.
They can then set any contact form to send a copy of the email to that very same account, but it will also be logged in the sent mail folder of said account, given that that was the account said email will have been sent from.
Hope that makes sense :D.