Connect to Office365 via Powershell as a Delegate Access Partner with MFA enabled

Looking at the code, all the -DelegatedOrganization parameter does is to modify the ConnectionURI string:

    if (![string]::IsNullOrWhiteSpace($DelegatedOrganization))
    {
        [UriBuilder] $uriBuilder = New-Object -TypeName UriBuilder -ArgumentList $ConnectionUri;
        [string] $queryToAppend = "DelegatedOrg={0}" -f $DelegatedOrganization;
        if ($uriBuilder.Query -ne $null -and $uriBuilder.Query.Length -gt 0)
        {
            [string] $existingQuery = $uriBuilder.Query.Substring(1);
            $uriBuilder.Query = $existingQuery + "&" + $queryToAppend;
        }
        else
        {
            $uriBuilder.Query = $queryToAppend;
        }

        $newUri = $uriBuilder.ToString();
    }
    else
    {
       $newUri = $ConnectionUri;
    }

As it still uses the same cmdlet as the ExO part, you should be able to use the exact same method. Whether this is supported server-side however I cannot tell, as I don't have any delegate account to use currently :)