SPF Fail for newly shared files?

The e-mails are forwarded via Office 365 forwarding options, so they come from e.g. lorenzo.tempesti@icfagagna.gov.it where the domain icfagagna.gov.it is registered on Office 365 and mail is handled by Exchange online. If I share a document on Sharepointonline with a group (e.g. group@icfagagna.gov.it), the mail is being sent from no-reply@sharepointonline.com to the group, then to the user lorenzo.tempesti@icfagagna.gov.it and from there to the external mailbox (gmail, yahoo, etc.) as configured in the forwarding options.

The fact is that this behaviour started on Friday June, 1st and synchronously on all the external mail services (gmail, yahoo, hotmail, etc.). 

I do see another entry:

Authentication-Results: mx.google.com;
       dkim=pass header.i=@sharepointonline.com header.s=selector1 header.b=kAvwCvIJ;
       spf=pass (google.com: domain of no-reply@sharepointonline.com designates X.X.X.X as permitted sender) smtp.mailfrom=no-reply@sharepointonline.com;
       dmarc=pass (p=REJECT sp=REJECT dis=NONE) header.from=sharepointonline.com

 So is it just getting sent to spam because of gmails/ yahoos filters, and nothing on Microsoft side?

That specific SPF instance header should technically be a red hearing.  You should see that protection.outlook.com accepted the e-mail even though it failed at their end and continued sending it (we authenticated with an internal authentication layer).  Later on there should be a successful SPF check as portection.outlook.com is in the list of valid senders for sharepointonline.com 

We are not, these emails are triggered when a external share invite is sent. No forwarding is done on our side.  The from address is <no-reply@sharepointonline.com>

I have copied the authentication results from the header below

Authentication-Results: spf=fail (sender IP is X.X.X.X) smtp.mailfrom=sharepointonline.com; gmail.com; dkim=none (message not signed) header.d=none;gmail.com; dmarc=fail action=oreject header.from=sharepointonline.com;
Received-SPF: Fail (protection.outlook.com: domain of sharepointonline.com does not designate X.X.X.Xas permitted sender) receiver=protection.outlook.com; client-ip=X.X.X.X; helo=RD00155D7132AE

Are you forwarding your e-mails?  The sharepointonline DMARC record indicates that mail can only be sent from known senders list, hence if e-mails are being forwarded by a 3rd party service they can be marked as spam.

We are seeing the similar things with Yahoo and Gmail, but we see it from no-reply@sharepointonline for any external sharing emails that are sent. Also looking for some insight or help 

Hi, we noticed the same problem here starting from Friday, June 1st.

The fact happens only to users that configured e-mail forwarding. Here some headers from a Yahoo mail server. In this case the mail is rejected. Similar thing happens to gmail.com and hotmail.com, mail is not rejected but goes to spam folder. Can you give me any help?

Authentication-Results-Original: spf=fail (sender IP is 52.169.67.105)
 smtp.mailfrom=http://sharepointonline.com/; http://icfagagna.onmicrosoft.com/; dkim=none
 (message not signed) header.d=none;http://icfagagna.onmicrosoft.com/; dmarc=fail
 action=oreject header.from=http://sharepointonline.com/;
Received-SPF: Fail (http://protection.outlook.com/: domain of http://sharepointonline.com/
 does not designate 52.169.67.105 as permitted sender)
 receiver=http://protection.outlook.com/; client-ip=52.169.67.105;
 helo=RD0003FF2FFB5F;