Fully Delete Office 365 Email in Azure / Exchange

By default, emails that get deleted go to the recoverable items folder. Once they are removed from there, they go to the hidden purges folder to wait for 30 days, after which the emails are deleted permanently. The primary exception to this is if Single Item Recovery is enabled on the mailbox. Other factors include legal hold status, eDiscovery hold status, and records management policies that may be in place. If you have not done anything with those, you can use MFCMAPI to connect to the mailbox's information store and forcibly delete the email from the purges folder.

If you already have a retention policy configured, doing a Content search will confirm whether the messages are deleted. Beyond that, you have to "trust" Microsoft, as you are simply a consumer of their services and dont have any way of obtaining access to the underlying infrastructure. They do publish a lot of documents detailing the different compliance/security features though, here's a sample one: https://docs.microsoft.com/en-us/office365/securitycompliance/office-365-data-retention-deletion-and-destruction-overview

You can get even more detailed documents from the Trust center: https://servicetrust.microsoft.com/ViewPage/MSComplianceGuideV3?docTab=7027ead0-3d6b-11e9-b9e1-290b1eb4cdeb_SOC_%2F_SSAE_16_Reports