Late to the game, but here’s how you do it.
To manage the on-premise Exchange Servers from your workstation, you can use the following procedure to setup these tools for use on your workstation.
1. You will need to install Microsoft Visual C++ 2012 Redistributable (x64): https://www.microsoft.com/download/details.aspx?id=30679
2. Then install these Windows Optional Features:
Enable-WindowsOptionalFeature -Online -FeatureName IIS-ManagementScriptingTools,IIS-ManagementScriptingTools,IIS-IIS6ManagementCompatibility,IIS-LegacySnapIn,IIS-ManagementConsole,IIS-Metabase,IIS-WebServerManagementTools,IIS-WebServerRole

Reboot machine, a number of times potentially.
3. After mounting the exchange ISO, you need to open the command prompt (CMD) also with administrative privileges.
4. Then you change to the mounted ISO file. (In my case it is the E:\ drive).
cd e:
5. Then run the Exchange installer, specifying just the management tools:
E:\>setup /mode:install /role:managementtools /IAcceptExchangeServerLicenseTerms_DiagnosticDataON
All being well its all installed as expected, now you can now use the Exchange Management Shell from your workstation.
You can find it’s PowerShell console under the Start Menu → Microsoft Exchange 2016 → Exchange Management Shell.
Using the Exchange Management Shell
You can find it’s PowerShell console under the Start Menu → Microsoft Exchange 2016 → Exchange Management Shell.
Depending on the configuration, you may need to run Exchange Management Shell as a different user.
In my case I needed to do the following to get a new credential (i.e. my administrator account), then make the connection to one of the Exchange Servers via that, note you can’t use a Load Balancer endpoint for this.
$Credential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri http://exchangeserver/PowerShell/ -Authentication Kerberos -Credential $Credential
Import-PSSession $Session
Check you can “see” the Exchange environment with:
get-mailbox
You should be able to see all the mailboxes, and then continue with your commands.