As an Office 365/Teams administrator, you know you need both the Skype for Business Online and Teams PowerShell modules.
Well, good news this is no longer the case as the Skype for Business Online commands have been merged with the Teams PowerShell module (with the version 1.1.6)
You can install the Teams PowerShell module using the PowerShell command (use the Run As Administrator)
Install-Module -Name MicrosoftTeams -RequiredVersion 1.1.6
or update it if you already have it installed with the command
Update-Module -Name MicrosoftTeams -RequiredVersion 1.1.4
Then you can connect to Skype for Business Online directly with the New-CsOnlineSession command, as it has always been but you don’t have the SfB Online modules installed.