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Dear Anne Lynette;
Good day! Thank you for your reply, since the Get Mailbox worked fine, there is no issue with connecting to exchange online PowerShell. Are you working in Hybrid environment? If you connected to the exchange server, this may indicate that target forest isn't an account partition of source forest. Please try using the .onmicrosoft.com and if the issue persists, please provide a screenshot for the error message for further investigation.
We sincerely appreciate your patience and cooperation. Thanks for your precious time!
Sincerely,
De Paul | Microsoft Community Moderator