The error I am seeing after I type in my credentials to Office 365 are as follows:
WARNING: Your connection has been redirected to the following URI: "https://ps.outlook.com/PowerShel
Import-PSSession : Files cannot be loaded because running scripts is disabled on this system.
Provide a valid certificate with which to sign the files.
At C:\foo.ps1:7 char:1
That's because it's attempting to implicitly remote the O365 commands into your system, and the resulting shadow module doesn't get signed. Not really a workaround for that.
And even so, a self-signed certificate does nothing for you in terms of security. It isn't trusted, you can't manage revocation, etc. If you're just going to used self-signed, you're pretty much wasting your time with it from a security and integrity perspective anyway.