In order to activate individual user backups, your Admin account must have Impersonation and be a member of the Management Group. Follow the instructions in the article Configuring Impersonation in Office 365.
Note: If you use multi-factor authentication with Office 365, you will need to use OAuth based authorization (requires a Global Admin account).
Once Impersonation has been set, from the Backups screen click on “Add Backup Task”, and then click on the Office 365 Exchange line. This will take you to the Office 365 Exchange Online Backup Task Settings.
You can activate your Exchange Online backups using OAuth (requires a Global Admin account) or by entering your admin credentials.
To activate using OAuth, click on the AUTHENTICATE IN MICROSOFT button. This will transfer you to the MS Exchange Online login screen. Once you login to Exchange Online you will be returned to the CloudAlly backup activation screen
If you wish to enter your admin credentials instead of using OAuth enter your Office 365 admin Mail address and password, then click APPLY button.