Below you can find the PowerShell commands required to connect to Security & Compliance.
Run Powershell as Administrator and run each one separately.
Set-ExecutionPolicy RemoteSigned
$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.compliance.protection.outlook.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
Import-PSSession $Session -DisableNameChecking
When you’ve finished run the below PS command to close the session.
Remove-PSSession $Session