problem connecting to server office365 via FortiGate

Hello All,

We are facing issue when connect to our mailbox in office 365 through FortiGate , but if we tried  from different network is working fine. And also created policy and allowed ALL and kept it in top , but the same issue.

I opened the ticket, the engineer informed me that the MX traffic was not forwarded to FortiGate, was passed on to the DC server, I am using DC For SSO. How do I overcome this problem?

Notice when I open the DC server via remote desktop, the internet disconnects from my device. please check the error in attached screenshot 

Thank you