You must have Azure Active Directory sync configured.
Verify that Disable login with O365 credentials is NOT checked under Company Settings > Import Users > Azure Active Directory
Logging In With Office 365
Go to your Proofpoint Essentials account login page.
Under Or log in with click Office 365 Account.
Link will redirect you to a Microsoft account login page.
Enter your O365 credentials.
If successful, login will redirect you back to Proofpoint Essentials and you will be automatically signed into your account.