Just about everywhere I searched on how to do this suggested to go to your hybrid server onsite and download the Exchange Online Powers hell Module. As you can see in this picture I do not have that option for some reason:
I then found the nice site in the reference and installed the ExchangeOnlineManagement module like so:
Install-Module –Name ExchangeOnlineManagement
I did have to say yes to some prompts since it is from an unknown source however the source does seem to be an online Microsoft community located here:
https://www.powershellgallery.com/
After installation try the following command to connect:
Connect-ExchangeOnline
Then I ran the following test command:
Get-EXOMailbox
Reference:
https://o365reports.com/2019/12/11/connect-exchange-online-powershell-without-basic-authentication/