Powershell script to add an email in the Office 365 Security and Compliance Block List

It's not possible.
You have two options:

* Fill it up manually on the O365 S&C (security and compliance)
* Or manage the Default Spam Policy for everyone (mailbox by mailbox, but there's a cmdlet that does it all for everyone):

https://docs.microsoft.com/powershell/module/exchange/set-mailboxjunkemailconfiguration?view=exchange-ps

To a Single User:

Set-MailboxJunkEmailConfiguration user@mydomain.com -BlockedSendersAndDomains @{Add=" @baddomain.com"} -TrustedSendersAndDomains @{Add="gooddomain.com","sally@safedomain.com"} 

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To the whole company

Get-Mailbox -ResultSize Unlimited | Set-MailboxJunkEmailConfiguration -BlockedSendersAndDomains @{Add="@baddomain.com","user@baddomain2.com} -TrustedSendersAndDomains @{Add="gooddomain.com","sally@safedomain.com"} 

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Thanks Vasil much appreciated.
This seems to work once I add the following before your script.
Connect-MsolService -Credential $Credential