Resolved: The term 'New-ComplianceSearch' is not recognized as the name of a cmdlet

 Today i was trying to search and delete an email from user's mailboxes in Exchange online/Office 365.

My steps were as below.

1: Connect-EXOPSSession -UserPrincipalName myadmin@mydomain.com

2:

$Search=New-ComplianceSearch -Name "Remove Phishing Message" -ExchangeLocation All -ContentMatchQuery '(Received:4/13/2016..4/14/2016) AND (Subject:"Action required")' Start-ComplianceSearch -Identity $Search.Identity

But were getting the following error

New-ComplianceSearch : The term 'New-ComplianceSearch' 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.          

Solution:

Run the following command to connect to "Security & Compliance Center PowerShell"

Connect-IPPSSession -UserPrincipalName khan.nawaz@pt.net.com

and after that is was able to run the New-ComplianceSearch command.

As per TechNet article this command is used to connect to Security & Compliance Center PowerShell or standalone Exchange Online Protection PowerShell using modern authentication. The cmdlet works for MFA or non-MFA enabled accounts.

For further detail:

Connect-IPPSSession (ExchangePowerShell) | Microsoft Docs

and 

Search for and delete email messages in your organization - Microsoft 365 Compliance | Microsoft Docs