For you to be able to connect to Azure with powershell you need to install a powershell module. This is an add in that you can install by following this guide: -us/powershell/azure/active-directory/install-msonlinev1?view=azureadps-1.0
After a couple of days of wandering in the dark I found this issue on github for Powershell Core: and buried down in it deeply was a comment from an anonymous user. To wit: @LaurentPrat how are you importing AzureRM on linux? O_O you are supposed to load azurerm.netcore. While the discussion was about linux, the lightbulb moment realization was enough. There are new modules for azure powershell core.
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