Hi,@Jan Ulrich
Great to know that the issue has already been resolved and thanks for sharing the solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution in case you'd like to "Accept" the answer : )
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Issue Symptom:
The customer has set up synchronization of users from the AD to the AAD, but one user is not synchronized to the AAD.
Resolution:
I'm just doing a gradual sync of users and I didn't realize that I don't have all users synced. So the user I was adding in AD as a supervisor was not yet synced and therefore logically did not sync to AAD as a supervisor. I have tested this with a synchronized user and it is working now. Only in the Exchange console does it show me his hash, but in AAD it's fine, so hopefully it will work for a third party application.