I recently went the Windows 10 route to get to know the system inside out for a few months before attempting to roll it out in the company (God help me!). One of the first things I noticed was even though I have Office 365, Cortana didn’t use my Outlook/Exchange information. This seems to be a bit of an oversight.
To get them to work with Cortana you have to open the native Calendar or Mail apps in Windows 10 and add your Exchange account. Once you have done this, Cortana can then use your accounts correctly.