During my short time with O365 and especially the Exchange Hybrid configuration, I did discover the one of the hardest things to do is to decide which is the best course of action for creating new mailboxes. Either create them on-prem first and then do a migration to the cloud or start from the cloud and then configure a remote mailbox at the on-prem?
Personally i do prefer creating the remote mailbox and the O365 user/mailbox at once by using the New-RemoteMailbox command. But there is something missing in the parameters , the Shared Mailbox trigger.
So for creating a mailbox in the a Hybrid environment, and then if it is needed to make a Shared on we would first connect to Exchange management shell, use the get-Credential command to set the username and credentials that you will use for the mailbox.