Set-Mailbox [email protected] -EmailAddresses @{remove="smtp:[email protected]"}
WARNING: Proxy address "cxxxxxxxxx" is used as WindowsLiveId. So it can't be removed from list of email addresses. To remove it, first change the WindowsLiveId.

OK let me try and change the MicrosoftOnlineServicesID to an onMicrosoft I can remove the SMTP

Set-Mailbox [email protected] -MicrosoftOnlineServicesID [email protected]
Write-ErrorMessage : ExB66C30|Microsoft.Exchange.Management.Tasks.RecipientTaskException|The WindowsLiveId property for account "9c39b7a4-db49-49a0-84ef-c06f90325f0f" can't be changed to
"[email protected]" because domains "xxxxx.com" and "xxxxx0416577.onmicrosoft.com" support a different authentication type. To make this change, you have to use the management console for your service.

What I had to do first was change the UPN of the user via MSOL to the OnMicrosoft Address

Set-MsolUserPrincipalName -ObjectId xxxx-xxxxx-xxxx-xxxx-xxxxxxxx -NewUserPrincipalName [email protected]

If you get the below just try another Alias

Set-MsolUserPrincipalName : Unable to add this user because a user with this this user principal name already exists - none.

I was then able to clear the SMTP Address