How does Catch-All work properly?

Test mail from MS Exchange (O365) returns:

550 5.7.350 Remote server returned message detected as spam -> 550 Rejected because 40.107.149.96 is in a black list at zen.spamhaus.org;Error: open resolver; https://check.spamhaus.org/returnc/pub/46.38.225.220/

But i turned off the spam and virus protection in HestiaCP