Is there a conceivable way to backup from Office 365, all mailbox items, then have it stored in a local USB disk for the customer?

Yes. You can backup Office365 mailbox and select local disk/network folders/cloud storage as the backup destination. Local USB Disk is supported in the Local Disk selection. The items that you can recover with Office365 backup are as follows:

  • Mailboxes
  • Email folders
  • Email messages
  • Calendar events
  • Tasks
  • Contacts
  • Journal entries
  • Notes

For more info on Office365 backup with Acronis Backup Cloud - http://www.acronis.com/en-us/support/documentation/Acronis_Backup_Cloud/index.html#37287.html