This is often asked on the different Office 365 communities, and we finally have a solution. You can get the details here: http://blogs.msdn.com/b/carloshm/archive/2016/01/16/how-to-compose-a-new-message-and-populate-quot-to-quot-and-quot-subject-quot-fields-in-office365.aspx
With those new parameters, you can now configure OWA as the default handler for the mailto protocol in Windows, so that clicking an email address will open the OWA “Compose message” window. On older versions of Windows, this is done by modifying the Default value under the following registry key: HKEY_CLASSES_ROOT\mailto\shell\open\command.
For Windows 8 and above, the process is a bit more complicated and one needs to follow the instructions in http://blogs.technet.com/b/mrmlcgn/archive/2013/02/26/windows-8-associate-a-file-type-or-protocol-with-a-specific-app-using-a-gpo-e-g-default-mail-client-for-mailto-protocol.aspx
Thanks to the guys at MS that made it possible, and the ones that helped spreading the news J