@Loïc Denis, Thanks for posting in Q&A. Based on my researching, I find in May 2024, due to updated authentication methods in the Graph SDK-based PowerShell module, the global Microsoft Intune PowerShell application (client) ID based authentication method is removed.
https://learn.microsoft.com/en-us/samples/microsoftgraph/powershell-intune-samples/important/
For the command "connect-msgraph", it is using the Intune PowerShell application ID (d1ddf0e4-d672-4dae-b554-9d5bdfd93547). So it is affected. You need to create a new registration app with required permission and connect via the new registration app.
connect-msgraph -clientid <your app id>
Hope the above information can help.
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