https://technet.microsoft.com/en-us/library/jj984289(v=exchg.150).aspx

$UserCredential = Get-Credential

$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection

Import-PSSession $Session

{Do work}

When done:

Remove-PSSession $Session
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To set mail type for specific domain: 

New-RemoteDomain -Name <Name of External Domain> –DomainName

Set-RemoteDomain -Identity <Name of Domain> -TNEFEnabled $false

Get-RemoteDomain -Identity <Name of Domain>| Select TNEFEnabled