This is by design so that the user does not have to edit the audit settings in Change Auditor AND O365.
This is documented in the Office 365 and Azure Active Directory User Guide:
"Auditing settings that have been previously configured in the tenant for Exchange Online by third-party software are overwritten by the auditing setting specified in the Office 365 template when the configuration is applied."
The Change Auditor Cloud plugin will periodically refresh the O365 mailbox auditing configuration applied to mailboxes to ensure the required auditing is in place.
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