First time:
Install-Module ExchangeOnlineManagement

Commands:
Connect-ExchangeOnline

Set-OrganizationConfig -OAuth2ClientProfileEnabled $true

Check:
Get-OrganizationConfig | Format-Table Name,OAuth* -Auto

Steps to change Office 365 group Email address:-

Current SMTP address :- test.o365group@abcd.onmicrosoft.com
Required SMTP address :- test.o365group@abcd.com

Follow the below steps in power shell using Global Administrator Credentials,

1. Connect to Exchange Online via Power shell using Global Administrator Credentials and run the below commends. First two command run separately.

Set-ExecutionPolicy Unrestricted

Start-service winrm

Import-module MSOnline
$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
Import-PSSession $Session
Connect-MsolService -Credential $UserCredential

2. Run the below command to add required SMTP address as an alias.
Set-UnifiedGroup -Identity “X” -EmailAddresses: @{Add =”Y”}
here X is the Display Name of Office 365 group and Y is the required Email ID.
Set-UnifiedGroup -Identity “Test o365Group” -EmailAddresses: @{Add =”test.o365group@abcd.com”}

3. Promote alias as a primary SMTP address,
Set-UnifiedGroup -Identity “Test O365Group” -PrimarySmtpAddress “test.o365group@abcd.com”

4. If not required, you can remove first ID using below command.
Set-UnifiedGroup -Identity “Test o365Group” -EmailAddresses: @{Remove=”test.o365group@abcd.onmicrosoft.com”}

Source: Microsoft Tech Community