hey @Brian McFadden,
I would guess the "on my mac" folder is an indication that the mail is held locally rather than in the cloud/on a server. Most likley this was mail that was downloaded in a POP3 setup.
If that is the case, it would completely make sense that you are not having that mail migrate following traditional means, as traditional means of migrations typically are just coping the mail from your old mail server.
Here is the apple support article about exporting local data - https://support.apple.com/en-mn/guide/mail/import-or-export-mailboxes-mlhlp1030/mac
If you are going to continue to use the same computers and mail systems, when you setup your new O365 boxes, you can just import the data back as Mbox files. If are moving away from Mac, it gets more complicated and you may need to do a multi-pronged approach such as something like this - https://gallery.technet.microsoft.com/Learn-How-to-Import-MBOX-40f45897
Hope this helps, and goodluck!
Adam
