After reading: Decommissioning your Exchange 2010 servers in a Hybrid Deployment a I read its not a real problem.
I had only to disable the Arbitration mailboxes: I did that with the following powershell command:
Get-Mailbox -Arbitration | disable-Mailbox -arbitration -RemoveLastArbitrationMailboxAllowed
I did not publish this article because i has still some doubts!!
I had still a question: Do want to remove the last Exchange Server? Have you a supported Environment without a local Exchange Server and still using DirSync??
Yes & No!!
If you don’t have a third party tool for that. The only way is trough ADSI and that is not supported.
You have a support issue when you dropped a Call at Microsoft and they investigate your environment.
Don’t remove the last Exchange Server even when all mailboxen exist in Office 365/Exchange Online and keep them up to date!
You can always install a Exchange Server but most of the times it will be always to late!