I happened to be a part of Microsoft Event where a PFE disclosed me that Exchange Online PowerShell now supports MFA (Preview)*. However, there are few pre-requisites required, which are as follows:-
ADAL must be enabled for the tenant.
Remote Execution Policy should be configured to run signed/trusted scripts
Now how do we accomplish to get the MFA experience?
Download the module from the link http://aka.ms/exopspreview
This shall download a click to run shell and you shall be able to install the tool on the machine, There will also be a shortcut created on the desktop for this preview shell and you shall be able to see the following screen:-
Use Command CreateExoPSSession –UserPrincipalName <Global ADMIN UPN> to connect.
After you enter the above command press the enter key and you shall see the following screen:-
After you enter the password , you shall be prompted for MFA