Unable to sync photos from Azure AD

Following a support ticket, I've discovered we cannot sync photos from AAD to user profiles (e.g. in My Apps) or even use profiles on AAD joined machines.

Apparently this is only possible through Exchange Online... Even though we can add photos to AAD user accounts. We do not use M365 as we are a Google house... But with Azure for identity and security tools (EMS E5). 

It would be good if there was a way around this or if MS could factor that into design in future.