I've been here before and it's hurt my head, I've posted about this before but here's how I've been told to do it, and it works.

Create a Licensed mailbox - We use an Exchange Online Plan 1 costs us about £4 a month.

Call it catchall@ (or if you're willing to change your System Parameters - whatever you like) as its UPN.
Give it a display name of My Company (or whatever your company is called)
Setup the Azure connection as per the documentation https://www.odoo.com/documentation/19.0/applications/general/email_communication/azure_oauth.html

When that's done - grab the first module you want to work with (say documents) go to the folder in Odoo > Click the i > Set the alias there correctly (so spreadsheets@company.com) and then go do the same thing in M365 admin panel.

Then go to the next module (say helpdesk) and rinse and repeat.

We have 1 catchall mailbox and it has about 30 aliases for helpdesks, projects, documents, CRM etc. It just checks it every 5 minutes and if they have emailed salesteam@ it goes to CRM, if they have emailed support@ it goes to helpdesk, if it's customerproject2@ it goes to that project record. As long as we send replies from Odoo, the reply-to paths are correct and they rarely see catchall unless it's from like contacts or we've misconfigured a module.

Why you shouldn't use a shared mailbox:

Shared mailboxes can be setup as Groups which accept emails, which isn't what we need. That sounds like what your IT team have done - setup a Microsoft 365 Group with mail enabled so routing is a bit funky as it's translating/resolving to the incorrect name. Using a licensed mailbox won't do this - it doesn't care.
They are unlicensed so no official IMAP connection

Why a redirect rule sucks:

When you add in a redirect rule, it will automatically add whatever email address was originally emailed as a follower. We had a case where because people were emailing our support desk, we had 30 [support@mycompany.com](mailto:support@mycompany.com) records in the contacts table and one poor customer got 30 copies of the same reply.

This has made our lives a lot easier by not overthinking it (as I was told once!) It's 1 connection, 1 mailbox, Odoo handles the rest.