By default, the Graph API (and the corresponding MG* PowerShell cmdlets) only return certain properties. You have two options here. First, explicitly request the Department property:
Get-MgUser -UserId 821d8474-bc34-4671-9a4f-7573601e6285 -Property Department | select Department
(do note that if you want other properties in the output, you also have to specify them, i.e. -Property Id,DisplayName,Department)
The second (and probably easier) method is to switch to using the /beta endpoint, which returns all properties by default:
Select-MgProfile beta
Get-MgUser -UserId 821d8474-bc34-4671-9a4f-7573601e6285 | select Department