The Domains section in the O365 Admin Center will always show an "error" if your MX records are pointing at anything other than Microsoft. However, this Microsoft page doesn't know that your email is being still being relayed to the same destination through Proofpoint. The delivery destination listed in Proofpoint is exactly the same as what your Microsoft MX record would direct to.
With the MX records directing to Proofpoint instead of Microsoft, incoming mail will be filtered and then delivered normally to O365. This is a relatively common occurrence, so rest assured that this error message can be ignored.