Message Trace not showing for smtp relay messages

Hi JohnShay4558,

Since different mail server environment and settings could have different root cause of this issue, before giving the exact answer, I’d like to confirm some more details below:
1. As you said you have switched from on-promises mail relay to Office 365 Exchange Online, have you finished the switching process?
2. After the switching, are you in pure Office 365 Exchange Online environment or hybrid environment with Office 365 Exchange Online and on-promises servers? Please share us with the detailed environment information and some information about how you did the switching.
3. If you have hybrid environment, please let us know whether the emails sent from on-promises server not show up in the message trace or the emails sent from both on-promises and online all not show up in the message trace.
4. As you mentioned SMTP relay in the subject, do you mean that you just send emails from you applications using Office 365 accounts? If so, please let us know how you configure this, SMTP relay or SMTP client submission in the first article below or IIS for relay in the second article.
How to set up a multifunction device or application to send email using Office 365
How to configure Internet Information Server (IIS) for relay with Office 365

Regards,
Yang

So we still have on-prem servers but only using for management and SMTP relay.  So mostly for server alerts and on premise application notifications.  When sending to our Office 365 mailboxes the emails show in the trace but to external users they do not.

Hi JohnShay4558,

Thanks for your clarification.
I understand that you just use the on-promise server for SMTP relay. Generally, if an email goes through Office 365 EOP (Exchange Online Protection), then it will be found by performing a message trace.
So if you send emails to internal Office 365 email addresses, these emails will show up in the message trace. If you send emails to external email addresses using SMTP relay, these emails just use an Office 365 email address as the from address and could not go through Office 365 EOP, so they would not be searched in a message trace.

Besides, you can provide us with the mail headers of an email sent to external email address using SMTP relay. We can analyze the detailed delivery process of this email and find out if this email has gone through Office 365 EOP. You can check the mail headers in Outlook client referring to the article below.
View the Internet header information for an email message.

To protect your privacy, I have sent you a private message to collect the mail headers. You can click the link below to access it.
https://community.office365.com/user/conversations

Regards,
Yang

Hi JohnShay4558,

Thanks for your information in private message.

I have checked the mail headers and found that this email has gone through Office 365 EOP. I will need to consult relevant team for further information about this issue. If I got any updates, I will post back.
Thanks for your understanding.

Regards,
Yang

Hi JohnShay4558,

I have checked the mail headers again and found that the email was sent directly from the SMTP relay server instead of Office 365 Exchange Online. This could lead to the scenario that the emails sent using SMTP relay will not show up in message trace. So to determine if it is expected behavior, could you sent the detailed SMTP relay configurations on your server to us for further research in private message.

Regards,
Yang

Hi JohnShay4558,

Thanks for your information in private message.
However, you just provide us with the send connector information. And we need the entire configuration information on your on-promise server so that we can make sure if the email sent out using the SMTP relay will show up in the message trace.
I have sent you another private message for you to capture the screenshots of the detailed configuration information.

Regards,
Yang

Hi John,

Thanks for your reply in private message.
As you have found the problem in your connector which including a federated subdomain, please feel free to contact us if you need further assistance.

Regards,
Yang