See this response https://github.com/pnp/sp-starter-kit/issues/436#issuecomment-694936145
You have to connect with
Connect-PnPOnline -Url <url> -PnPManagementShell and then you will receive a code to enter on https://microsoft.com/devicelogin, where you will need to login with credentials for an account that must have the Application Admin role assigned to them in the Admin Center, and then you can consent to give PnP Management Shell access to your tenant.
After that, you should be able to login with
Connect-PnPOnline -Url <url> again.