We are currently in the process of moving to O365 as well. However, we are not leveraging the Checkpoint SaaS offering. To answer your question, it sort of depends on what you want to protect because you do get some additional protections from MS that you dont get from Checkpoint. Also, If you have MS 365 E3 (NOT O365 E3) then you can go with the MS 365 E5 Security License for $12/month which is essentially EMS-5 minus the azure information protection P2. This was introduced earlier this year. For the F1 licenses you would need to do EMS if you wanted the same protections.
The biggest addition would be the Azure ATP, which you can integrate with your on-prem environment and detect malicious user behavior. Its essentially Microsoft ATA but hosted in the cloud. You would also get Microsoft Cloud App Security which is an awesome SIEM like app that aggregates all of your O365 audit data and detects abnormalities in addition to allowing you to write rules and define actions on these rules such as block user, alert quarantine files, etc.
I suggest you look at this comparison chart below. Look and see what features you get and decide if you need/want them. The 4th Column is E3+E5 sec, which I touched on above. The CheckPoint SaaS solution is essentially O365 ATP p2 for email and sharepoint then leverages conditional access policies and audit data for the identity protection part and does DLP, which Azure information protection would end up doing. So there is some overlap with some features/addons with checkpoint.
https://infusedinnovations.sharepoint.com/:x:/s/Public/EcWcoHQRZzVNnoo8GAYLqDwBj01kz2j3VKXaJHNOhFZQj...