So just today I learned new thing, I was missing New-ComplianceSearch cmdlet, I was a bit frustrated because I was in all the relevant groups:
Technet was not mentioning a WORD about one thing, I was able to use compliance cmdlets only after I connected diffrently, so if this is your connection string:
$Session = New-PSSession -ConfigurationName Microsoft.Exchange –ConnectionUri https://ps.outlook.com/powershell/ -Credential $Credential -Authentication Basic –AllowRedirection
Change it to:
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.compliance.protection.outlook.com/powershell-liveid/ -Credential $Credential -Authentication Basic –AllowRedirection
This should do the trick.