I feel your pain Nigel, and agree using PowerShell for administration is a great time saver.
In the Fow environment, the process is running on Microsoft servers in the cloud so to excute the PowerShell on your local machine would need some sort of connector, and/or gateway to your on-premises environment. I'd be interested to know if that is on any roadmap, but wouldn't be surprised if it had a low priority if was even on the list.