After almost 3 months MS provided the solution:
- You must use Connect-IPPSSession
- "eDiscoveryManager" must be typed without spaces (even though in the official documentation it is "eDiscovery Manager"
The full code:
Update-Module ExchangeOnlineManagement
Import-Module ExchangeOnlineManagement
$UPN = 'globalAdmin@lab.onmicrosoft.com'
Connect-ExchangeOnline -UserPrincipalName $UPN
Connect-IPPSSession -UserPrincipalName $UPN
$UPN1 = 'manager@lab.onmicrosoft.com'
Add-RoleGroupMember -identity "eDiscoveryManager" -Member $UPN1