I have attempted to perform the simple query as well, and the result was the same.
I want to inform you that we are retrieving emails from Office 365 using OAuth authentication, as basic authentication is disabled. We have successfully retrieved all the emails and stored the relevant information in a SQL database, while saving the attachments to a file server.
Our requirement is to segregate the emails within the inbox folder by creating subfolders and applying rules.
Further, we have tried the logic you suggested, and I'm confident that Office 365 supports searching based on criteria such as To, Cc, Subject, Unseen, and more but some how it is not working in our case.
The approach you recommended, which involves managing the filtering at the client side, will certainly work well.