By default, when synchronizing a user from an on premises environment that has a mailbox assigned to it, assigning an Office 365 license will not result in a mailbox being created. The mailbox is created when initiating the free Microsoft migration tools. Put another way if you use Microsoft's Directory Sync tool to synchronize your on premises Exchange mailboxes to Office 365, you have to use the free tools from Microsoft to do the data migration of the live mailbox.
After the mailbox has been initialized with the free Microsoft migration tools, the Exchange Migrator can be used to import PST files into the mailbox or export the mailbox.