This one puzzled me for a while because it wasn’t immediately obvious and I remember there was always a convoluted way of doing things on El Capitan.
The good news is it’s much easier under Sierra and High Sierra. All you need to do is this:
- in MacOS Mail, select Mail » Preferences,
- select the Accounts icon along the top of the panel,
- select your Exchange account from the list on the left,
- make sure Account Information is the selected tab on the right.
- You should now see an Email Address dropdown box on the right and it will most probably have your Exchange master email address in it,
- if you click that dropdown, you should be able to select Edit Email Addresses at the bottom, which will bring up a new panel.
- In that panel, just click the + and - symbols to add new email aliases.
- You can then select those aliases as the sender address whenever you create, reply to or forward an email.
It has taken a long time but Apple computers now seem to have good support for Microsoft Exchange.