enabled mailbox auditing for all mailbox

Seems like a duplicate threat, but I'll paste the link to the documentation here as well: https://docs.microsoft.com/en-us/office365/securitycompliance/enable-mailbox-auditing

And the error you are getting in the first screenshot is most likely because you have MFA enabled (and you *should* have MFA enabled on any admin account). Meaning you need to run the MFA-enabled ExO PowerShell module: https://docs.microsoft.com/en-us/powershell/exchange/exchange-online/connect-to-exchange-online-powershell/mfa-connect-to-exchange-online-powershell?view=exchange-ps