Cross-premises permissions support was expanded as of recently, although your tenant might still not have the latest bits. Read the updated documentation here: https://technet.microsoft.com/en-us/library/58b46b2c-a6b2-424a-8fc2-0f1fe1ad8e18(v=exchg.150)#Delega...
As part of these improvements, folder-level cross-premises permissions *might* work in some cases, however officially they are still *not* supported. In other words, feel free to test the new ACLable objects, but don't expect them to work in every scenario just yet.
