A recent report by a security vendor says that 25% of phishing messages get by Exchange Online Protection (EOP) and arrive into Office 365 user mailboxes. This highlights the need to configure EOP properly and run multiple lines of defense. Microsoft would like you to use Office 365 Advanced Threat Protection (ATP) alongside EOP. Offerings from other security vendors are also available. For better protection against phishing, you should consider something like ATP.
https://www.petri.com/phishing-report-exchange-online-protection
