Yep Office365 is troublesome here. Unfortunately there isn’t much we can as Auth0 on our side. Here are a few general tips that may help:
The main tip is to ensure that SPF, DKIM and DMARC have been configured, as described here: “The best way to deal with legitimate messages that are blocked by Microsoft 365 (false positives) that involve senders in your domain is to fully and completely configure the SPF, DKIM, and DMARC records in DNS for all of your email domains”
The corresponding Auth0 doc for this can be found here:
There are quite a few users here in the forum who experience the same thing which is emails going to Junk or Spam when using this Microsoft service.