List all users' last login date

YES, This is possible!
But you need to do a little trick because it is only accessible via the Graph API. If you want to achieve that by PowerShell, you need to create an application, with a secret, that has access with the permission AuditLog.Read.All and User.Read.All and call this application with Graph command to do your query.
You can see my PowerShell script bellow:

#Replace [tenant_id], [Application_ID], [client_secret] with your own values

#Provide your Office 365 Tenant Id or Tenant Domain Name
$TenantId = "[tenant_id]"

#Provide Azure AD Application (client) Id of your app.
#You should have granted Admin consent for this app to use the application permissions "AuditLog.Read.All and User.Read.All" in your tenant.
$AppClientId="[Application_ID]"

#Provide Application client secret key
$ClientSecret = "[client_secret]"

$RequestBody = @{client_id=$AppClientId;client_secret=$ClientSecret;grant_type="client_credentials";scope="https://graph.microsoft.com/.default";}
$OAuthResponse = Invoke-RestMethod -Method 'Post' -Uri "https://login.microsoftonline.com/$TenantId/oauth2/v2.0/token" -Body $RequestBody
$AccessToken = $OAuthResponse.access_token

#Form request headers with the acquired $AccessToken
$headers = @{'Content-Type'="application\json";'Authorization'="Bearer $AccessToken"}

#This request get users list with signInActivity.
$ApiUrl = "https://graph.microsoft.com/beta/users?`$select=displayName,userPrincipalName,signInActivity,userType,assignedLicenses,mail,createdDateTime&`$top=999"
$Result = @()

While ($ApiUrl -ne $Null){ #Perform pagination if next page link (odata.nextlink) returned.
$Response = Invoke-WebRequest -Method 'GET' -Uri $ApiUrl -ContentType "application\json" -Headers $headers | ConvertFrom-Json
if($Response.value){
$Users = $Response.value
ForEach($User in $Users){
#Filter only Guests
if ($User.userType -eq 'Guest'){
$Result += New-Object PSObject -property $([ordered]@{
UserID = $User.id
DisplayName = $User.displayName
ExternalDomain = if ($User.mail) {$User.mail.Split("@")[1]} else {$null}
Email = $user.mail
UserPrincipalName = $User.userPrincipalName
CreationDateTime = if($User.createdDateTime) {[DateTime]$User.createdDateTime} else {$null}
LastSignInDateTime = if($User.signInActivity.lastSignInDateTime) { [DateTime]$User.signInActivity.lastSignInDateTime } else {$null}
IsLicensed = if ($User.assignedLicenses.Count -ne 0) { $true } else { $false }
IsGuestUser = if ($User.userType -eq 'Guest') { $true } else { $false }
URL = "https://portal.azure.com/#blade/Microsoft_AAD_IAM/UserDetailsMenuBlade/Profile/userId/"+$user.id
})
}
}
}
$ApiUrl=$Response.'@odata.nextlink'
}

#Export to local computer
$Result | Export-CSV "C:\Temp\LastLoginDateReport.CSV" -NoTypeInformation -Encoding UTF8

Enjoy! 🙂