Hi Philip,
Could you capture a screenshot of management interface?
Actually, we can also add a proxy address via PowerShell. You can refer to the following steps:
1. Use Windows PowerShell in Exchange Online
http://help.outlook.com/en-us/140/cc546278.aspx
2. Run Set-Mailbox admin@domain.com -EmailAddresses @{Add=’alias@domain.com’}
Thanks,
Johnny Zhang