|$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
First thing, logon to Exchange online using powershell and run the command get-addresslist and verify that it is working.
To create a new address list you have to specify a filter for with object that should be included in the address list.
The full list of attributes that can be used to filter object is found here:
Here is some examples of filters that can be used: