Thank you for the information. I checked everything is morning and all the retention policies were set.
I did not get a chance to run your script but it does look correct from my knowledge of powershell.
FYI: As I was writing this response to you I had MS call me and informed me that the error message was normal. They said in the backend the changes were made and there was nothing else to change.
I guess the Exchange GUI was not displaying it correctly (mostly a timing issue).