Sending mail between two domains

Hello, On the same body, two domains are named DomainJ and DomainS. Domain J domains point to Office 365 services. DomainS domain services to Office365 services, but an MX field is also created to the IP address of the CPANEL mail server. DomaineS domain, use the email service of CPANEL but also Office 365. The problem is that if you send an e-mail from the CPANEL DomainS domain to a box (create on Office365) Domain J, that's what you received by the default box CPANEL Domain J and not on the Office 365 box associated with this domain. Do you have a solution for sending an email from CPANEL and domain Domain sending well the mail to the address of DomainJ is create on Office365? A change must be made at the MX level of each domain? or a specific setting must be done on the WHM? Best Regards