Did you ever the experience that it's complicated to deal with multiple of the different Microsoft cloud-based services and have to remember the specific modules to add, commands to use to connect? So did I and found myself always looking them up again and again, especially for those used more rarely.
That's all what Connect-MS365 is about:
it delivers one central CmdLet function which can be executed to connect to one or many of Microsoft's services and you don't have to care about the single service connection commands. Supported services: MSOL, AzureAD, Exchange Online, Teams, SkypeForBusiness, Security & Compliance Center, SharePoint Online.
additionally it checks and installs the right modules or packages if necessary.