Connect-AzAccount currently requires user intervention in the form that you need to copy a URL from the PowerShell to your browser and then copy a code from the PowerShell to the browser.

("WARNING: To sign in, use a web browser to open the page https://microsoft.com/devicelogin and enter the code XXXXXXXXX to authenticate.")

This can be improved. The Connect-ExchangeOnline cmdlet from the new ExchangeOnlineManagement 2.0.4 module does all of this automatically. It authenticates you by automatically opening a browser at a set location. You only need to select the user you want to authenticate with, no code needed. The only thing you need to do manually outside the PowerShell is to close the tab once authentication is completed. ("Authentication complete. You can return to the application. Feel free to close this browser tab. ")