After you created an Exchange Retention Policy either in Exchange Online or On-Prem Exchange, you have to make this new retention policy as Default, so new mailboxes will get this policy automatically.
To see the available retention policies, type
To change your Default Retention Policy for all users, run the following (Copy the retention policy name from the results of the above command):
Set-RetentionPolicy -Identity "Your Policy Name" -IsDefault:$true
Now, we need to assign this policy to all existing mailboxes.
Get-Mailbox -ResultSize Unlimited | Set-Mailbox -RetentionPolicy "Your Policy Name"
That’s it. Enjoy!