Unfortunately you need a Windows system to administer Office 365 with PowerShell. It’s only API calls, but it’s not (yet, hopefully) migrated to .NET Core. So Mac & Linux users are out of luck, although .NET Core should be more than capable to do this.
If you want to administer Teams with PowerShell, you … are in trouble. It’s barely documented, and it sucks. Those are the steps to be done:
> $sess = New-CsOnlineSession ... > Import-Module SkypeOnlineConnector ... > Import-PSSession $sess
… and this should be it. Now all the PowerShell commands for Teams (in my case: Grant-CsTeamsUpgradePolicy) should be available.