Solution
Set-User -identity email address removed for privacy reasons -RemotePowerShellEnabled $True
https://learn.microsoft.com/en-us/exchange/troubleshoot/administration/bad-request-error-when-connecting-to-exchange-online-powershell
Brilliant documented ...
Tried:
-Timezone set to utc and then we got
Value cannot be null. Parameter name ipString
-- there is only 1 nic
-Granted user global admin permissions but the same error.
-Updated exchangemanagement module to 3.3 (latest)
-pressed f12 and opened exchange online powershell
got the error
New-Pssession : [outlook.office365.com] Connecting to remote server outlook.office365.com failed with the following
error message : Bad Request For more information, see the about_Remote_Troubleshooting Help topic.
which finally helped solving the issue