recently we moved to office 365, we have some accounts configured on the outlook in the local PCs, how can I filter the mail for this account?
You'll need to follow the information in the KB article here:
(Configure the Firebox SMTP proxy to work with Office 365 and other cloud-based email services)https://watchguardsupport.secure.force.com/publicKB?type=Article&SFDCID=kA10H000000g3drSAA&lang=en_US
WatchGuard Customer Support
I guess that for incoming mail is not possible?
If the local PCs are accessing a remote mail server using POP3 or IMAP, you can set up POP3 and/or IMAP proxy policies to inspect the accessed email on the remote mail server.
no the account does not allow these settings, it is automatically configured.
Setting the proxy up via that KB will scan mail before it goes to the mail server.