Hi @Szasz Ludovic · Thank you for reaching out.
The AzAD PowerShell cmdlets still use Azure AD Graph API i.e. https://graph.windows.net. Granting permission to Microsoft Graph API is applicable for the calls made with https://graph.microsoft.com API.
If you capture a fiddler trace while executing Get-AzADGroupMember cmdlet, you can see below call being made in the backend:
https://graph.windows.net/<your_tenant_id>/groups?api-version=1.6
So, you still need to have Azure AD Graph API permissions in place if you are using PowerShell to fetch information from Azure AD.
-----------------------------------------------------------------------------------------------------------
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.