Use the Azure AD blade or the Graph API. The "Script" button next to the "Download" one gives you a ready-to-use PowerShell script that queries the Graph API and fetches all the results, so you don't have to write your own.
If you want to use "standard" PowerShell, your best bet is the Unified Audit Log in the SCC, which unfortunately has been plagued with issues lately. Still, you can try getting the results via the Search-UnifiedAuditLog
I just tried your approach (GUI - Sign Ins blade, filter on Client app for last 1 month) and when downloading the results to a CSV it obtains the first 250,000 records so maybe the limits have change between January and now.