It appears that EXO V2 Module 2.0.6 preview 7 has support for managed identities now. To connect, make sure you are running the latest preview module and that the session is running in the context of the managed identity (Azure Automation Runbook)
connect-exchangeonline -managedidentity -Organization "<Name of your org>"
Our organization formation was <domainname>.onmicrosoft.com
Andy can you confirm that this has been added.
ALSO note that it appears that the connect-ippssession cmdlet does NOT support managed identities which I find rather odd. The cmdlet has not been updated to pass the parameters to the connect-exchangonline cmdlet within the module. It would be nice to know how to use connect-ippssession for connecting to the Security and Compliance console with two different auth types? I can only assume that if you use connect-ippssesion after connecting to EXO with a managed identity, it will override that connection with whatever auth type you use for connect-ippssession?
Thanks