I had a frustrating problem, where powershell was not returning the correct results that I was expecting, it was missing a 95% of the data from a simple get-mailbox command.
It turns out, that running exchange powershell commands from the “Exchange Management Shell” sets the environment to the local server, even if you use the Import-PSSession (per Microsoft) and I was only getting the local mailboxes. When asked what command I would use in this situation, I was told there is none.
In order to do true cloud commands, you should use the regular powershell, and Import-PSSession, then all your exchange commands will work on the O365 side.