Thank you for clarifying Rudy. To be able to enable the Engagement Report my final workflow was the following:
Import-Module MicrosoftTeams
Import-Module SkypeOnlineConnector
$sfbSession = New-CsOnlineSession
Import-PSSession $sfbSession
I was then required to enter my username and authenticate with MFA
Once connected I did the following:
Set-CsTeamsMeetingPolicy -AllowEngagementReport "Enabled"
All code was then successfully accepted. I will test the functionality during my next meeting.