Enter the following commands in powershell after connecting to 365. This will allow for messages sent from a distribution group email address to issue an NDR to the manager of the group.

Get group information:

Get-DistributionGroup "groupname@domain.com" | FL

Set up NDR:

Set-DistributionGroup "ndrrecipient@domain.com" -ReportToOriginatorEnabled $false
Set-DistributionGroup "ndrrecipient@domain.com" -ReportToManagerEnabled $true