If you want all users that belong to Azure Active Directory groups to be automatically discovered and backed up, add the Azure Active Directory groups to an AD group, and then add the AD group to the Exchange Online app.
You can add the following types of Azure Active Directory groups:
Azure security groups
To discover and back up Azure Active Directory groups based on geographic affinity, you can use Azure security groups.
Mail-enabled security groups
Office 365 groups
Note: Dynamic distribution lists are not supported.
From the navigation pane, go to Protect > Applications > Office 365.
The Office 365 apps page appears.
In the Name column, click the app to add the AD group to.
The app page appears.
On the Content tab, click Add, and then select Add AD group.
The Add AD group dialog box appears.
From the Office 365 plan list, select the plan to use for the AD group.
From the AD groups list, select the Aure Active Directory groups to add.
What to Do Next
To discover new user accounts, run a backup.