In order to use your local Microsoft Exchange Email Server you need to point your domain name's MX records to it. An MX (Mail eXchanger) record is a type of DNS record in your domain's DNS zone which specifies a mail server responsible for accepting email messages on behalf of your domain.

Your MX record should be pointed to your Microsoft Email Server. That is why you need to know the IP address of your Microsoft Email Server. The server must use a public IP address. Once you know the IP address, you can change the MX records as per the instructions in this article:

How to change my MX record

Please note that even if you change your MX records you can still use your Siteground Mail server to send messages.