You probably dont need it unless you are in Germany, China or DOD. In that case, choose the correct one:
-ConnectionUri
Note: If you use the ExchangeEnvironmentName parameter, you don't need to use the AzureADAuthorizationEndpointUri or ConnectionUri parameters.
The ConnectionUri parameter specifies the connection endpoint for the remote Exchange Online PowerShell session. The following Exchange Online PowerShell environments and related values are supported:
Microsoft 365 or Microsoft 365 GCC: Don't use this parameter. The required value is https://outlook.office365.com/powershell-liveid/, but that's also the default value, so you don't need to use this parameter.
Office 365 Germany: https://outlook.office.de/PowerShell-LiveID
Office 365 operated by 21Vianet: https://partner.outlook.cn/PowerShell
Microsoft 365 GCC High: https://outlook.office365.us/powershell-liveid
Microsoft 365 DoD: https://webmail.apps.mil/powershell-liveid
Note: If your organization is on-premises Exchange, and you have Exchange Enterprise CAL with Services licenses for Exchange Online Protection, use the this cmdlet without the ConnectionUri parameter to connect to EOP PowerShell (the same connection instructions as Exchange Online PowerShell in Microsoft 365 or Microsoft GCC).
https://learn.microsoft.com/en-us/powershell/module/exchange/connect-exchangeonline?view=exchange-ps