Q. If I use Azure RMS can I still use that service for my on-premises services that use RMS?
A. If you are "all in" for the cloud you are likely leveraging Office 365 which provides you Exchange, SharePoint, Lync and more all hosted by Microsoft. This seamlessly integrates with Azure AD and services such as Azure RMS which enables easy usage of Azure RMS to protect data utilized through those cloud services. What if you are not "all in" but rather "kind of in"? You are using Azure AD and want to use Azure RMS, but perhaps you still have some or all of your SharePoint/Exchange on-premises. Perhaps you are using File Server Resource Manager File Classification Infrastructure (FSRM FCI) and want to apply RMS templates to certain classifications of data. In these situations how do you utilize Azure RMS? The solution is actually very simple.
Microsoft has the Azure Rights Management Connector which runs on-premises and essentially "lies" to the on-premises infrastructure that it is in fact an RMS infrastructure. But, what it actually does is interface with Azure RMS which provides the actual RMS service. This enables services like Exchange, SharePoint and FSRM FCI on-premises to leverage your Azure RMS investments. The Azure RMS Connector does not contain actual keys nor does it store logs but rather acts as a proxy for your on-premises services to Azure RMS in the cloud.
Details for deploying the RMS Connector can be found at https://technet.microsoft.com/en-us/library/dn375964.aspx.