Jinak teda kdyby to někdo také řešil, tak mu ušetřím nějaké šediny, takto je pak asi jediná možnost jak to použít v powergui nebo ISE a tak:
Connect to Exchange Online PowerShell using multi-factor authentication
https://technet.microsoft.com/en-us/library/mt775114(v=exchg.160).aspx
A pak:
$modules = @(Get-ChildItem -Path "$($env:LOCALAPPDATA)\Apps\2.0" -Filter "Microsoft.Exchange.Management.ExoPowershellModule.manifest" -Recurse )
$moduleName = Join-Path $modules[0].Directory.FullName "Microsoft.Exchange.Management.ExoPowershellModule.dll"
Import-Module -FullyQualifiedName $moduleName -Force
$scriptName = Join-Path $modules[0].Directory.FullName "CreateExoPSSession.ps1"
. $scriptName
$null = Connect-EXOPSSession
$exchangeOnlineSession = (Get-PSSession | Where-Object { ($_.ConfigurationName -eq 'Microsoft.Exchange') -and ($_.State -eq 'Opened') })[0]
Import-PSSession -Session $exchangeOnlineSession
A poté kupříkladu, už pokračujeme v ISE:
Get-UnifiedGroup | select Identity,SharePointSiteUrl,ManagedBy