If you use PowerShell to connect to Office 365 services, and also have MFA enabled, you already know there is always some issue to connect with PowerShell to some of the Office 365 services.

While Microsoft is improving the situation, you can now have MFA enabled and connect to the Security and Compliance Center with PowerShell.

To do so, you need to download and install the Exchange Online PowerShell module from the Exchange Online ECP- Hybrid section

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Or go to the direct link http://aka.ms/exopspreview