There is currently no way to specify a manager of a user using PowerShell
Currently, using the MSOnline PowerShell module, we can specify many properties of an Azure AD User, including the title, city and name, things like that. However, there is no ability to specify the user's manager, among other fields.
The only method to achieve this is through the REST API, which requires using oAuth2.0, something which is very difficult to accomplish using PowerShell.
I'd recommend these missing management areas be covered with an update to the PowerShell module.
Thanks Stephen! This is something we have planned in our backlog.
Stephen Owen commented
I have since (since this morning) wrote some cmdlets that let you set the manager using PowerShell, should anyone else run into this problem :)