I would like to add here that customers are unable to exclude individual users from Teams Channel Messages retention policies. You might first think "Obviously, you would include/exclude Teams, not users". But you can see how this is actually a problem if you try to migrate a mailbox from Exchange Online back to on-premises (in a Hybrid deployment), to an Exchange 2010 database. 2013 and newer databases are OK, because O365 retention policies can work with those.
MS Support is aware of this problem but there is no ETA on a resolution. The problem will be safe for them to ignore within a few months when Exchange 2010 goes out of support. Reference Premier Support case #: 18176866.
The solution available for this particular problem today is to open a support ticket and MS Support will have some back-end team do some magic which adds a new policy exclusion to the user. The Security & Compliance Center PowerShell command that was being tried during the support is
Set-RetentionCompliancePolicy -Identity <ID> -AddTeamsChannelLocationException <User's mailbox's ID>
But that won't work, that command wants a Team ID, not a mailbox's ID. Trying it with the mailbox's ID will throw an error because it sees mailboxes as MailUsers (reference issue for that: https://github.com/MicrosoftDocs/office-docs-powershell/issues/4788).
I get that Exchange 2010 is going away, so that's a non-issue for a decent percentage of the world. But I wonder how some of these unpopular issues are going to play out in other areas, or down the road when somebody actually offboards from Office 365 / EXO.