O365 PowerShell "You Do Not Have Permissions"

I'm having issues running a Command in PowerShell for O365. I have done this before with the same account but I have no idea what changed or how. When connecting to Power Shell I run:

$UserCredential = Get-Credential
(This will ask me for my O365 login which I input as usual)
Connect-MsolService -Credential $UserCredential

We have a hybrid environment with multiple domain and when I try to change a users domain I run:  Set-MsolUserPrincipalName -UserPrincipalName username@domain.onmicrosoft.com  -NewUserPrincipalName username@ourdomain.org

then I get:

Set-MsolUserPrincipalName : Access Denied. You do not have permissions to call this cmdlet.
At line:1 char:1
+ Set-MsolUserPrincipalName -UserPrincipalName asdf@cplc.onmicrosoft.co ...
+ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    + CategoryInfo          : OperationStopped: (:) [Set-MsolUserPrincipalName], MicrosoftOnlineException
    + FullyQualifiedErrorId : Microsoft.Online.Administration.Automation.UserNotFoundException,Microsoft.Online.Administration.Automation.SetUserPrincipalName

Again, I have used this account before and have performed this action without any issues before. Not sure what changed or how to fix. Any help will be appreciated.
Thanks
menendezaAsked:
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FOXConnect With a Mentor Active Directory/Exchange EngineerCommented:
Use steps in this link to connect to your EXCHANGE ONLINE SESSION. (IT HAS COMMANDS FOR SHAREPOINT AND ANOTHER SESSION AS WELL)
You probably didn't set your execution policy.

ref link: https://technet.microsoft.com/en-us/library/dn568015.aspx
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Vasil Michev (MVP)Connect With a Mentor Commented:
The error messages can sometimes be misleading. You will get the exact same error if the user is not found, for example:

[17:31:00][Login script]# Set-MsolUserPrincipalName -UserPrincipalName sdfdsfds@domain.com -NewUserPrincipalName user@domain.com
Set-MsolUserPrincipalName : Access Denied. You do not have permissions to call this cmdlet.
At line:1 char:1

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So, double-check the user, his UPN might be a custom domain, not the default onmicrosoft.com one. And of course, double-check the credentials.
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menendezaAuthor Commented:
Thank you Foxluv
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