Windows 7 has this really cool feature where you can integrate external search providers into your desktop search experience. If you're running SharePoint in-house you can even connect the SharePoint search to your windows 7 desktop search! Yay!
SharePoint Search even gives you a lovely icon to automate the whole connection!!!
But Office 365 will not play nicely. First of all, they took that lovely icon away from the search results. :-( That should be a big enough clue already. and if you try to connect to it manually by editing an osdx connector file you will end up getting this on each search attempt:
So the verdict is: Federated Search does not work with Office 365 and Windows 7!
Yet another feature they took out of their flagship cloud solution. My personal guess is performance. If thousands of users world wide would run O365 searches from their desktop the whole time, the infrastructure would go under more strain than the MS team would like to see.