Depends on where you are trying to perform this. The old-style Exchange content search/eDiscovery should accept the Exchange GUID. The new-style (the one in the SCC) does not accept the GUID in the UI. And in PowerShell, it only seems to accept the ExternalDirectoryObjectId identifier, not the actual GUID from Exchange. THis does seem like a bug or somethng they overlooked to me, so I'll try pinging few folks while we're here at Ignite and report back.