I see this question pop up everywhere and to start with I think that catch all mailboxes doesn’t work anymore. There is to much spam and to filter that we need to just let some ____ go and catch all mailboxes is one of those things.

From the service description

A catch-all mailbox receives messages sent to email addresses in a domain that do not exist. Exchange Online anti-spam filters use recipient filtering to reject messages sent to mailboxes that don’t exist, so catch-all mailboxes are not supported.