Hi,
This is because Outlook 2016 has detected that you are currently logged on to the desktop with a federated user account.
I'm assuming you've integrated your Office 365 with your on-premises environment, correct? (Read more:
https://blogs.office.com/2014/04/15/synchronizing-your-directory-with-office-365-is-easy/)
With this wizard, all you need to do is to click the "Connect" button, and enter your password, then Outlook 2016 will take care of the rest.
Regards,
Ethan Hua
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