@Kamran Ahmed Yes, Microsoft Teams have dependencies on other Office 365 applications such as SharePoint or Exchange Online. So, the CA policy configured to block Exchange Online, blocks Microsoft Teams as well.
This is documented here: https://learn.microsoft.com/en-us/azure/active-directory/conditional-access/concept-conditional-access-cloud-apps#office-365-preview
"Office 365 provides cloud-based productivity and collaboration services like Exchange, SharePoint, and Microsoft Teams. Office 365 cloud services are deeply integrated to ensure smooth and collaborative experiences. This integration can cause confusion when creating policies as some apps such as Microsoft Teams have dependencies on others such as SharePoint or Exchange."
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