When I attempt a mail fetch test, it fails then displays the Microsoft modern login box. I login with the appropriate credentials and I get this error:
AADSTS900971:
No reply address provided.
Thinking that the problem was on the Azure side, I contacted MS support. They spent an hour going through the config and determined that it was setup correctly as far as they could tell. They said that this error message translates to a problem with the redirect url. The redirect URL is currently set to the value listed in the Helpdesk Plus Admin - Mail Server Settings so this should be correct.
I'm not sure what else to do at this point.