1. Log in as administrator at https://portal.microsoftonline.com/

2. Go to the ‘Exchange’ Admin section:

3. In ‘Exchange admin center’ go to the ‘permissions’>’admin roles’ and choose ‘Discovery Management’

4. On the ‘Discovery Management’ screen, ‘ApplicationImpersonation’ role should be added (+ button), and administrator as a member (result shown below):

4a.  adding ‘ApplicationImpersonation’ role:

4b.  adding ‘admin’ as a member:

After these steps, user ‘admin’ will have impersonation rights.