Hi,
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Based on your description, when you connect to Exchange Online PowerShell with multi-factor authentication (MFA), you can use Connect-ExchangeOnline cmdlets, for example:
Connect-ExchangeOnline -UserPrincipalName admin@contoso.onmicrosoft.com
More information you can refer to:Connect to Exchange Online PowerShell
And you can connect to Azure AD using this Command:
Connect-AzureAD
And I want to confirm with you what role assignment you are referring to? Are you looking for this Add-RoleGroupMember? Please point out for any misunderstanding!
Please feel free to contact me for any updates. And if this helps, don't forget to mark it as an answer!