There is never a prompt for MFA logins during connection. Only the standard
Connect-SPOService : The sign-in name or password does not match one in the Microsoft account system.
I had to disable the Global Administrator's MFA to get around this.
If you execute the Connect-SPOService without providing credentials, you will be prompted for the auth window, which is supporting MFA.
Connect-SPOService -Url https://yourtenant-admin.sharepoint.com
I had only been providing the username; good call, completely missed this. Thanks.
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If you execute the Connect-SPOService without providing credentials, you will be prompted for the auth window, which is supporting MFA.