Connect to Exchange Online with MFA enabled

Been searching a little while before I got this thru my skull.

I had enabled MFA for my account over at Exchange Online and tried to connect to the remote PowerShell. Immediately my screen turned red.

New-PSSession : [outlook.office365.com] Connecting to remote server outlook.office365.com 
failed with the following error message : [ClientAccessServer=VI1PR0101CA0080,
BackEndServer=am5pr10m 
b0595.eurprd10.prod.outlook.com RequestId=d3099d49-9287-419a-b22f-91e1bf7b888d,
TimeStamp=6/21/2017 10:43:42 AM] Access Denied For more information, see the 
about_Remote_Troubleshooting Help topic.

The access denied error is what triggered me to search for the MFA solution, because in the Office Portal I could log in just fine.

After some searching on the web I came across this:
https://technet.microsoft.com/library/mt775114.aspx
This just recently became available (for as far as I know), prior MFA had to be disabled for the Organisation Management account. Which is a terrible idea of course.

After installing the Exchange Online Remote PowerShell Module you get a new icon in your start menu.

After starting the new PowerShell module you're greated by this:

As you can see there's a new way to connect to Exchange Online with MFA enabled on your command.
The Connect-EXOPSSession is the new way, and a new commandlet not available in any of the installed modules the PowerShell Module directory.
I tried to find what module is explicitly loaded but was unsuccessful.
I think it downloads the module directly from the cloud, right after starting the module a black screen is briefly displayed and then the PowerShell window is shown.