The reason for the error is that Get-CsConferencingPolicy command is applied in both on-premises and online environment. And you install Skype for Business Online module on Skype for Business server. So, when you run this command, it has a conflict.
A workaround for your scenario is to install Skype for Business Online module in a different machine and run your script. Besides, SkypeForBusiness\Get-CsConferencingPolicy format is also practicable.
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