To import from Office365/Azure AD you will need to create a new group through the Create Group page.
You will also need a user to log into for the Microsoft account you want to sync. Once you enter a name for the group, select "Microsoft Graph (Office365/Azure AD)" from the Third-Party Syncing drop-down menu. Finally, click Create Group.
Once the group is created, you will be prompted to setup the Microsoft Credentials. Check the box for "Update Microsoft login credentials" and click the Update Group button.
You will then be redirected to Microsoft to login to the account you want to sync.
Once logged in, you will be redirected back to the portal to select which groups you want to include in the sync. If you simply want to sync everyone on the account, select "Sync All Users." When you are finished selecting your groups, click on Update and your targets will be synced.