Skykick or Veeam are the only options I have used.

Skykick is good as you dont have to think about storage repository

Veeam is great anbd you can bring the backup back into NZ, but you need your own storage or a VCC 

Both are priced per user per month so good if you want "cloud economics" .. 

For one user I would go with Skykick

We're using Veeam Backup for O365, used the Veeam built VM on the Azure Marketplace... so far no issues or concerns.

I'm awaiting on the scale out repository feature to be added, whereby backups over a certain age get tiered out to much cheaper blob storage. Apparently it's their most requested feature. 

What licensing do you have in place? The in-built retention policies or holds not an option? Can then do eDiscovery on that user if needed?