Create a new role assignment policy, follow these steps:
Sign in to the Office 365 portal as an admin, click Admin, and then click Exchange to open the Exchange admin center.
In the left navigation pane click permissions, and then click user roles.
Click New (+)
Type a name for the new role assignment policy, and then click to select the options that you want. Make sure that the MyDistributionGroups check box and the MyDistributionGroupMembershipcheck box are cleared.