There are some basic differences between journaling in on-premise enterprise exchange and hosted exchange.
One such difference in hosted exchange is we require that you must journal to an external source. You cannot journal to a local mailbox.
If you try to create a journal rule to point to a local journal recipient mailbox you will get the error below-
If you create a journal rule and point the journal recipient to a mailbox in another tenant org or the root hosting tenant org the shell will not throw an error and the rule will be created.However there will be no data journaled and thus no messages in the journal mailbox.
If you perform a message track on the journal recipient you will see an EventId of FAIL with a SourceContext of Journal Filter Agent-
Since in hosted mode you are sharing an entire exchange org with multiple tenants certain precautions have to be taken to not allow one single tenant to take down the whole Org or other tenants.
The journaling limitation is such a precaution. In hosted exchange you are required to journal to an external off site target. This can be a 3rd party archival solution or another Exchange 2010 enterprise Org.
In addition along the same lines we only allow 10 journal rules per tenant Org (including the root hosting Org). This is hardcoded and cannot be changed.