The documentation for Get-Mailbox suggests using Get-EXOMailbox instead.

Which you can do by installing PowerShell 7 and then installing the Exchange Online V2 PowerShell Module.

What if you really want to use Get-Mailbox, and in my particular case, Get-MailboxAutoReplyConfiguration as I wanted to troubleshoot an OOF issue.

You’ll need the Exchange Server ISO
as the PowerShell module for that is part of the Exchange Management toolset.

Once you’d done that, by say, downloading the latest Exchange Cumulative Update, you can then connect to Exchange Online.