We'll cover Office 365 Security & Compliance in Chapter 8, Understanding Security and Compliance and connecting to PowerShell will be among the topics described there. For now, it is sufficient to understand that these tools use the remote PowerShell session techniques, so working with them is essentially the same as connecting Exchange Online and Skype for Business. There is one caveat to keep in mind: Security & Compliance requires special roles in Azure AD, so it will not work through delegated administration the way other components do.
There are other services such as Windows Azure Resource Management and Azure Information Protection, each of which has their own special technique to connect and manage. To cover each one here would be impractical. Fortunately, there is a great deal of information online that can help you get started using PowerShell with these services.