The Set-UnifiedGroup cmdlet was unavailable after updating several devices to ExchangeOnlineManagement Powershell module 2.0.6 recently. I got the same results on these three machines:
Windows 10 Enterprise, on-prem domain-joined
Windows Server 2019 Standard, on-prem domain-joined
Windows 11 Enterprise, Azure-joined
I tried with two different users, one had the Global Administrator role and one had the Exchange Administrator role.
After uninstalling 2.0.6 and reinstalling 2.0.5, the Set-UnifiedGroup cmdlet was available again on all machines for both users. Microsoft support had no explanation, but recommended staying with 2.0.5 for now.
It's a known issue. For the 2.0.6 version the team is basically reworking how all the cmdlets are executed, and gradually added support for more cmdlets over the past few months. For any cmdlet that's not available "natively", including the Set-UnifiedGroup one, you can connect via: