Trying to block zip files with O365 seems a little painful, as the default GUI does not really give you the option (anymore?) If you Google, you might find screenshots with options to select the attachment but when I checked our GUI, that was all that I saw:
So, trying PowerShell, something interesting happened.
New-TransportRule -Name 'Rule - Block password protected zip' -Priority '0' -Enabled $true `
-AttachmentExtensionMatchesWords 'zip' -RejectMessageReasonText 'Sorry your mail was blocked because it contained a zip file.' `
-StopRuleProcessing $true -SetAuditSeverity Low -SenderAddressLocation HeaderorEnvelope
Executing this PowerShell command, it created a new rule, that now had more/different options than the rule you could create from the GUI!
And now you can block file extensions and stuff to your heart’s content.