"Using Geo-DNS we get the user’s network traffic into the closest Microsoft datacenter and then pass their network traffic across our low latency global private network back to the user’s home datacenter region."
I challenge this statement as it's certainly not my experience! I am working with a client with an Office 365 tenant hosted in European data centers. They have an Office in India with external DNS configured for APAC based DNS servers. A network monitor trace shows a client based in India will attempt to access APAC data centers (due to MS GLDNS) before eventually timing out (+30 seconds) and being redirected (not proxied) to the correct EMEA DC's.
We raised a call with MS support who advised we use a conditional forwarder on our internal India DNS servers to resolve outlook.office365.com via the London office.
I will be re-opening the call with MS having read this article.
Also, I often find the clients require investment in their proxy infrastructure to make use to URL based filtering, as all email traffic (including internal email) will now pass through their proxies - in some cases that's a significant amount of data.