Changing the public folder default reply address

By default, Exchange online Public Folders have the default email address with onmicrosoft.com suffix:

<publicfoldername>@<companyURL>.onmicrosoft.com

The only way to change it is modifying the default address policy of Exchange Online with powershell.

So, after you had connected to Office 365, proceed with following steps:

Disable the default address policy:

Set-MailPublicFolder -Identity "\<foldername>" -EmailAddressPolicyEnabled $False 

Note: change "foldername" with the name of public folder.

Adding a new reply address in Exchange Control Panel (ECP)

Login into Office 365 and go to Outlook settings.
Go to public folders > public folders

Click on a public folder (next to the link, not on the link) to select it then click the "Edit" link above the Public Folders list.

Make this the Reply Address

Now because of the Powershell command we run earlier we can tick the option to make this our reply address.