The error message you're encountering is indicating that the AzureAD module is missing a required assembly, System.Windows.Forms, which is needed to run Connect-AzureAD.
The AzureAD module is not supported in the Azure Cloud Shell, which is a limited environment for running scripts. To use the Connect-AzureAD cmdlet, you'll need to run it on a computer that has the AzureAD module installed and the required dependencies. You can use the Azure CLI or Azure Portal to manage your Azure resources instead.
Alternatively, you can try running the script locally on a machine that has the required dependencies installed.