The good news is that MS has released a new version of the Exchange Online Module, which contains native commands to both connect and use the Security & Compliance Center functions and supports MFA.
Solution:
1. Download the new Module.
- Log-in to O365 Admin Center
- Select the link in the bottom left, under Admin centers, labeled Exchange
- Click the Hybrid Link on the left panel
- Click the Configure Button under the Exchange Online PowerShell Module, this should install the new module.
- If You can not get the Download Module to work, check out this article Support.Microsoft.Com
- The new Module should install to your Start Menu, simple search and run "Microsoft Exchange Online Powershell Module.
- Run the following command:
Connect-IPPSSession -UserPrincipalName "yourlogon"
- At this point your MFA Pop-Up should occur and you will be prompted to continue entering credentials.
- If you have issues downloading your report check out this article Support.Microsoft.Com
5. And the Final Step, run the purge from the POSH Session.
- Run the following command:
New-ComplianceSearchAction -SearchName "The Name that you gave your Search" -Purge -PurgeType SoftDelete