If you want to Manage MS 365 Exchange (must be run as local admin).

Do this once: In powershell as an admin -

Install-PackageProvider -Name NuGet -MinimumVersion 2.8.5.201 -Force

Install-Module -Name ExchangeOnlineManagement

Import-Module ExchangeOnlineManagement

Then whenever you want to connect:

Connect-ExchangeOnline

enter tenant admin credentials.
If you are logged in to MS partner center with delegated access rights to the tenant -run this in powershell -Connect-ExchangeOnline -UserPrincipalName admin@youremail.com -DelegatedOrganization clientdomain.com