There are two different PowerShell commands to create a Distribution list:
Use the Enable-DistributionGroup cmdlet to mail-enable EXISTING universal security groups and universal distribution groups that aren't already mail-enabled.
This cmdlet is available only in on-premises Exchange.
Use the New-DistributionGroup cmdlet to CREATE distribution groups and mail-enabled security groups.
This cmdlet is available in on-premises Exchange and in the cloud-based service.
That means for the cloud, Microsoft provides only the second option, and that creates both objects. Therefore it is not currently possibility to create a Distribution List for an existing group in the cloud. This is also why this is not possible in Identity Manager.