Resolution:
Tried to install Exchange Online Management Latest Preview Version 2.0.6-Preview6 but failed with an error mentioned in the screenshot
Before we install 2.0.6-Preview6, we would need to install PowerShellGet
To install PowerShellGet, Open Powershell with the Elevated Rights and run the following CMDLET.
Install-Module PowerShellGet -Force -AllowClobber
After installing PowerShellGet, Now try to install ExchangeOnlineManagement Module and check whether it is getting installed
You can see now that it is installed with 2.0.6-Preview6.