The latest version of the OneDrive for Business client (17.3.7294.0108) now allows you to synchronize SharePoint Online RMS protected libraries.
To take advantage of this new functionality, just ensure you are running at least the referenced version (17.3.7294.0108) of OneDrive for Business client. If not, just get it from https://go.microsoft.com/fwlink/p/?linkid=844652 (only if you do not run WIndows 10 or Office 2016/Office 365 Pro Plus).
You may also need the RMS client (2.1) available from https://www.microsoft.com/en-us/download/details.aspx?id=38396
Enjoy