As you know you have been able to manage Azure AD Rights Management Service (AADRM) with PowerShell for quite some time using the corresponding PowerShell module.
As since then, Azure AD RMS has evolved to become Azure Information Protection, these PowerShell CMDlets will be deprecated by July 15th 2020.
After this date, the Azure AD RMS CMDlet will be still available as alias but it is highly recommended to start replacing it in any script you are using to use the Azure Information Protection ones.
If you have deploy the Azure Information Protection client (available https://www.microsoft.com/en-au/download/details.aspx?id=53018) you already have the corresponding Azure Information Protection module.
You can also only install the PowerShell module using the PowerShellOnly=true parameter.