Processes in Microsoft 365 for setting up Office apps, redeeming product keys, and activating licenses.
I don't think so. Actually, in investigating it further, it seems that the cmdlet Connect-ExchangeOnline calls IE explicitly. Why do I say that? Because on the multiple systems I've tried this on, including a Sandbox, just to try it, even though the default browser is set to something else the authentication call opens IE, and that browser is, in fact, not supported.
Interestingly, I was able to open the authentication in Edge. Then, when I killed the auth session in PS, and re-ran the cmdlet, it came up with the authentication box (in IE again), but this time recognized that I was already signed in, and I was eventually able to get the connection.
But the bottom line is that I shouldn't have had to work so hard. This is not an Exchange issue, per se. It's a PowerShell issue. It's an authentication issue. But this is before we actually get to Exchange.