The PowerShell Exchange API differs from others in its distribution form. To connect to Exchange Online, you will need to create and import a PowerShell session. The necessary modules are made available to you through the session. Exchange is the only case where a download is not needed.
If you need to connect using multi-factor authentication, you will need to download the Exchange Online remote PowerShell module for multi-factor authentication. Remember that at the time of writing this, multi-factor accounts cannot be used for unattended scripts.
The main advantage of this delivery method is that updates to modules are delivered whenever a new session is established. The publisher of the modules (Microsoft or the on-premises administrator) can easily update the modules and the scripting user is guaranteed to be running the latest version when establishing...
