Hi,
i've set up some users lately. You have to connect to the Skype Online Powershell
Import-Module SkypeOnlineConnector
$sfboSession = New-CsOnlineSession
Import-PSSession $sfboSession
Then you command should work.
https://learn.microsoft.com/en-us/skypeforbusiness/set-up-your-computer-for-windows-powershell/download-and-install-the-skype-for-business-online-connector
Best regards
Stephan