Cannot load Exchange Online Protection commands in Remote PowerShell

Question

My colleagues and I cannot load the Exchange Online Protection commands in Remote PowerShell.
It just loads the Exchange Online cmdlets.
Where are we going wrong?
PS C:\Users\jmorrison> $UserCredential = Get-Credential
cmdlet Get-Credential at command pipeline position 1
Supply values for the following parameters:
PS C:\Users\jmorrison> $Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.protection.outlook.com/powershell-liveid/
-Credential $UserCredential -Authentication Basic -AllowRedirection
WARNING: Your connection has been redirected to the following URI: "https://outlook.office
365.com/powershell-liveid?PSVersion=4.0&realm={I've removed my domain name for security reasons}.co.uk "
PS C:\Users\jmorrison> Import-PSSession $Session
ModuleType Version   
Name                               
ExportedCommands              
Script    
1.0        tmp_4fnmyflw.she                   
{Add-AvailabilityAddressSpac...
PS C:\Users\jmorrison> Get-TransportRule
Get-TransportRule : The term 'Get-TransportRule' is not recognized as the name of a
cmdlet, function, script file, or operable program. Check the spelling of the name, or
if a path was included, verify that the path is correct and try again.
At line:1 char:1
+ Get-TransportRule
+ ~~~~~~~~~~~~~~~~~
+ CategoryInfo         
: ObjectNotFound: (Get-TransportRule:String) [], CommandNotF
oundException
+ FullyQualifiedErrorId : CommandNotFoundException

Answer 1

I've moved MX records to EOP and seems to be fine all domain expect few.<o:p></o:p>
I can see that problematic domain has "-" between domain names.<o:p></o:p>
mydomain.com<o:p></o:p>
mydomain-com.mail.protection.outlook.com --> has no problem, however<o:p></o:p>
mydomain.usa.com<o:p></o:p>
mydomain-usa-com.mail.protection.outlook.com having issue <o:p></o:p>
when i checked in mx lookup it says MX record has NO A Record.<o:p></o:p>
any suggestions<o:p></o:p>