Hi Smitha,
I found a link onlinehelp.microsoft.com/.../hh125002.aspx which specifies this:
Set-MsolDomainAuthentication
The Set-MsolDomainAuthentication cmdlet is used to change the domain authentication between standard identity and single sign-on. This cmdlet will only update the settings in Office 365; typically the Convert-MsolDomainToStandard or Convert-MsolDomainToFederated should be used instead.
So please try to use Cmdlet Convert-MsolDomainTodederated.
Thanks,
Ray Yang