You can now use an Administrator account that is enabled for Multi-Factor Authentication to sign in to Exchange Online PowerShell and the Office 365 Hybrid Configuration Wizard (HCW).
In case you are...
Updated Jul 01, 2019
Version 2.0
Blog Post
2 MIN READ
Multi-Factor Authentication for the Hybrid Configuration Wizard and Remote PowerShell
Is Security & Compliance covered as well with MFA enabled account?
This is a connection to Exchange Online PowerShell with MFA, so anything you can do in Exchange Online PowerShell should work here