Email is Hosted on Office 365.
They would like to make use of IPS scanning, Web Filtering, VPN and Firewall capabilities of the UTM. If there is a way of routing Office 365 mail though the UTM to provide Antispam, then this as well.
If they are using Office 365 , to do so, they most probably had to point the MX record of their domain(s) to Office 365.
Even using Office 365, it's also possible to route mail to a proprietary server (the Protector) for processing mail BEFORE it's routed to Office 365 (read here https://technet.microsoft.com/en-us/library/jj937232(v=exchg.150).aspx ). In this case, the MX record should point to the Protector, then in the Protector, the mail server must be set up to point to Office 365.