@Ali Akyürek - Thanks for the question and using MS Q&A platform.
Make sure to you have followed all the prerequisites metioned on the official documentation: Connect to Security & Compliance PowerShell
Note: Connect commands will likely fail if the profile path of the account that you used to connect contains special PowerShell characters (for example, $
). The workaround is to connect using a different account that doesn't have special characters in the profile path.
As per the test from my end, it was working as expected without any issue.