According to the error message on the picture you provide, the error is due to the lack of DeviceManagementConfiguration.Read.All or DeviceManagementConfiguration.ReadWrite.All permissions, Please try the following code:
Connect-MgGraph -Scopes "DeviceManagementConfiguration.Read.All"
More details can be found at this link:
https://github.com/microsoftgraph/msgraph-sdk-powershell
Hope this helps.
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