In order to send direct messages from Slack to your colleagues on Microsoft Teams, you'll have to sync your Microsoft Teams account so that Mio can relay your message back and forth.
Your colleagues who use Microsoft Teams will be able to chat with you as if you were also on Microsoft Teams. You'll be able to chat with them while staying in Slack.
Linking your Microsoft Teams account to your Slack account
You should have received a message like this one below from the Mio app:
Click the Link my account button.
Sign in to your Microsoft Teams account that your organization has provided for you. This will be the only time you need to sign in to Microsoft Teams.
Accept the scopes that Mio requests.
That's it! You should see this message from the Mio app once the accounts are successfully synced.
You can now stay in Slack and direct message with your colleagues who use Microsoft Teams.