Can I Connect to O365 Security & Compliance center via powershell with MFA on?

The answer is Yes, the new module released for Exchange Online also includes a connection string for accessing the Security and Compliance Center.

 https://technet.microsoft.com/en-us/library/mt775114%28v=exchg.160%29.aspx?f=255&MSPPError=-2147217396

This will install a ClickOnce app reference to launch the console with the module pre-loaded.

When you launch the console you will see this message:

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This PowerShell module allows you to connect to Exchange Online service.
To connect, use: Connect-EXOPSSession -UserPrincipalName <your UPN>
This PowerShell module allows you to connect Exchange Online Protection and Security & Compliance Center services also.
To connect, use: Connect-IPPSSession -UserPrincipalName <your UPN>

To get additional information, use: Get-Help Connect-EXOPSSession, or Get-Help Connect-IPPSSession

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Unfortunately, this limits the module's usefulness since we cannot run this in the ISE or on a different Powershell Console.

After some intense googling, binging I found a script that allows you to do just that.

Thanks to Vasil for pointing out that the code below is already in an earlier portion of the thread, Sorry I missed that. :)

Import-Module -Name $((Get-ChildItem -Path $($env:LOCALAPPDATA + '\Apps\2.0\') -Filter Microsoft.Exchange.Management.ExoPowershellModule.dll -Recurse).FullName | ?{ $_ -notmatch '_none_' } | Select-Object -First 1)
$EXOSession = New-ExoPSSession
Import-PSSession -Session $EXOSession -AllowClobber 

You must first install the module as indicated in the reference above.

Let me know if you have any questions.

NOTE: I should point out that I have had issues with this method when using the ISE. When the session has timed out, the ISE locks up when it comes time to prompt for credentials to reauthenticate.