I can speak as someone using the same setup in my lab environment. I'm running AppInsight for Exchange against 4x Exchange 2016 servers internally.
I'm also using the Office 365 Templates to monitor the Online Exchange infrastructure. Since you don't own the underlying hardware in Office 365, you can't get stuff like disk or network KPI's. For those things, I use a combination of NetPath to check on connectivity to O365 from each remote office and Web Performance Monitor to check the login process against outlook.office365.com.