Connect to your 365 instance.
You have to do connect first, always. Powershell ISE can't be used. If you try you'll get a "A window handle must be configured" error. Use regular Powershell.
Here's an example of connecting, then removing a user's auto-reply.
PS C:\> import-module exchangeonlinemanagement
PS C:\> connect-exchangeonline -UserPrincipalName admin@contoso.com
PS C:\>Get-MailboxAutoReplyConfiguration -Identity user@contoso.com
PS C:\> Set-MailboxAutoReplyConfiguration -identity user@contoso.com -AutoReplyState disabled
PS C:\> Set-MailboxAutoReplyConfiguration -identity user@contoso.com -ExternalMessage $null
PS C:\> Set-MailboxAutoReplyConfiguration -identity user@contoso.com -internalMessage $null
