To connect to Skype For Business Online I have been using:
Import-Module SkypeOnlineConnector New-CsOnlineSession -OverrideAdminDomain $AzureDomain -Credential $AZCredential
Where $AzureDomain is my Azure domain and $AZCredential my Azure admin credential. The OverrideAdminDomain is used as the setup is hybrid.
This fails for the modern authentication that uses OAuth.
When I use New-CsOnlineSession it asks me my username (email). But does not authenticate with 403 error (Forbidden). I wonder if any one has been able to use New-CSOnlineSession with MFA