Only those with Exchange Admin or o365 Global Admin permissions can approve D365 mailboxes. Our IT department rightly don't want us to have these permissions as it will allow us to do some much more than we actually need.

D365 System Admins should have the ability to approve mailboxes themselves so they don't have to keep asking an Exchange Admin or o365 Global Admin to do it for them which slows down the process of setting new users up.