The Office 365 backup set does not show the mailboxes when creating backup set and the error is reported on the DS-Client debug event log (DebugMessage was set to 2 and restarted the DS-Client service).
Example of errors on DS-Client debug event log (event log, dsclient.exe.dbg):
Exchange Online plug-in API failed (CExchangeOnlineInterface::LoadDLL)
Exchange Online plug-in unavailable. Please try again when loading is complete
It is an issue of plugin was not installed properly, the latest Office 365 DLL files were overwritten when installing the Office 365 plugin for the first time.
Try to re-run again the plugin and ensure no error or install a newer or higher version of DS-Client hot fix and ensure to run the plugin on command prompt as an Administrator and check for error messages.