In Office 365, you can't designate an Exchange Online mailbox as a journaling mailbox. You can deliver journal reports to an on-premises archiving system or a third-party archiving service. This might me a limitation for Cloud-only service users. Organizations are switching to cloud from On-prem environment, to reduce the extra charges. In terms of third party archiving service, my feedback is, Microsoft should have own archiving service for this kind of purpose. Journaling option is very disappointing for Cloud-only environment administrators.
Dave Jones commented
Journalling with a BCC to the original email will cause mail routing problems. We are experiencing mail loops using an external spam filter and smarthost outbound to it as well. The BCC addition to the original email is routing the mail back to our smarthost no matter what we do. The solution is to split a copy to the journal address and leave the original email alone so it can deliver correctly.