Summary: This blog post describes why you do not need the SharePoint Online Management Shell anymore!
If you worked with PowerShell for SharePoint Online in the last year, you had to download a new PowerShell console from: https://www.microsoft.com/en-us/download/details.aspx?id=35588.
On the 31st of August 2018 Microsoft released a new* PowerShell module to the PowerShell gallery: Microsoft.Online.SharePoint.PowerShell. This means we can now install the SharePoint Online PowerShell module straight from the PowerShell Gallery, which makes it very easy to get.
The PowerShell Gallery is the central repository for sharing and acquiring PowerShell code including PowerShell modules, scripts, and DSC resources: https://www.powershellgallery.com
Getting the SharePoint Online PowerShell module
Just like any other module published in the PowerShellGallery, you can install the module by running just 1 line of PowerShell code into your regular PowerShell console.
Make sure that you started PowerShell as administrator and run:
Install-Module Microsoft.Online.SharePoint.PowerShell -Force
If you already installed the SharePoint Online Management Shell by downloading it, you should remove it.
Please note that you won't have any "SharePoint Online Management Shell" after you install the module from the PowerShell Gallery.
You can just use any cmdlet provided by this module from your regular PowerShell console.
Another major advantage of installing the module via the PowerShell Gallery is updating the module.
Before, you had to go to the Microsoft download page again and install the latest version.
With the PowerShell Gallery module, all you need to run is:
If only the Exchange Online PowerShell module would add MFA, we wouldn't need to install any custom programs to start using PowerShell for Office 365.
Hopefully, this will happen too!