What the Intune UI shows as a "configuration policy" can be a number of other object types, such as:
- /deviceManagement/configurationPolicies
- /deviceManagement/deviceConfigurations
- /deviceManagement/groupPolicyConfigurations
- /deviceManagement/resourceAccessProfiles
- /deviceAppManagement/mobileAppConfigurations
... and more. You can use the relevant cmdlets to retrieve them. Keep in mind some are only available in beta (i.e. Get-MgBetaDeviceManagementConfigurationPolicy)