To setup the Exchange mailbox in MacOS Mail app, use the following steps;
Once you are done, you can quit the Internet Accounts window and Open Mac.Mail app and after a period of time, depending on the speed of your internet connection, you will see your mailbox folders and messages start to appear.
Generally, on a good connection with at least 100mbps download speed, it may take up to 30 minutes the synchronise most of the messages.