When connection to Exchange Online PowerShell using the command Connect-ExchangeOnline nothing special happens. But when executing a PowerShell command like Get-Mailbox you get the following warning:

PS C:\WINDOWS\system32> $mailboxes = Get-mailbox -ResultSize unlimited
Attention!
You are currently using an older version of the Exchange Online PowerShell module which uses RPS. RPS deprecation has been announced and you will need to move to the latest V3 module by June 2023. Read more here: https://aka.ms/RPSDeprecation 
Please install our new REST-based PS V3 module downloadable from https://www.powershellgallery.com/packages/ExchangeOnlineManagement/, which is more secure and reliable.
Please note that you will no longer be able to use -UseRPSSession after June 2023.

Microsoft has introduced a new Exchange Online PowerShell module (v3) and the previous modules will be deprecated in the (near) future.

To update the PowerShell module, the old module needs to be uninstalled first before you can install the latest version. To uninstall the old v2 module, execute the following command:

Uninstall-Module ExchangeOnlineManagement

And to install the new v3 module, execute the following command:

Install-Module -Name ExchangeOnlineManagement -RequiredVersion 3.0.0

To check which PowerShell modules and versions you have installed, execute the Get-InstalledModule command.