Hi PhilipLau,
From your description, there are two workarounds for you:
1. You can use Journaling to check if it can meet your requirement. Journaling is the ability to record all communications, including email communications, in an organization for use in the organization's email retention or archival strategy. For more detailed information, please refer to the following link:
Learn more about journaling: http://technet.microsoft.com/en-US/library/ms.exch.eac.LearnMoreJournalRules%28EXCHG.150%29.aspx?v=15.0.702.0&l=1&s=BPOS_S_E15_0
2. Please check if transport rule can meet the requirement. You can create a transport rule as the following screenshot:
Here is a links for your reference: http://technet.microsoft.com/en-US/library/ms.exch.eac.NewTransportRule%28EXCHG.150%29.aspx?v=15.0.702.0&l=1&s=BPOS_S_E15_0
Best Regards,
Anna Shi