First, it is recommended to remove any prior versions of the MicrosoftTeams module, as well as SFB Online if you had it. This article will use Azure Cloud Shell, which works in a web browser.
Azure Shell: Clean up installed modules.
Normally available via https://shell.azure.com, or by clicking the Cloud Shell button in the title bar of https://portal.azure.com.
Remove all instances of the MS Teams module, we will need a specific public preview release to get going with SFBO sessions. (Not needed if you are starting from scratch with no prior SFBO/Teams modules)
Uninstall-Module MicrosoftTeams -AllVersions -Force
Get current Teams module installed
Install June 2020 Preview release of Microsoft Teams module from https://www.powershellgallery.com/api/v2 (this is a default source if PSGet is installed)
Install-Module MicrosoftTeams -RequiredVersion 1.1.3-Preview -AllowPrerelease
Create a session for SFBO and then connect to it
$sfbsession = New-CsOnlineSession
Cloud Shell/Mac/other non-Windows: This login will prompt the "device based login" Modern Authentication experience:
Import-PSSession $sfbsession -AllowClobber
Tada - we have a SFBOnline session, with the expected cmdlets available and functioning: