Login to Exchange Online PowerShell using MFA

Once you enable MFA on Admin account, you will be denied access to EXO using PowerShell until you update Azure PowerShell version to latest.

Download and install Microsoft Online Services Sign-In Assistant and Azure Active Directory Connection preview

Use Connect-MsOlService Cmdlets, you will prompted to signin in a browser with MFA. Once correct MFA is provided, you are signed into Office 365.