Sample PowerShell to set up SP Online site classifications

Setup-SiteClassificationsSample.ps1

$me = Get-Credential

Import-Module AzureADPreview
Connect-AzureAD -Credential $me

# Create the new setting
$template = Get-AzureADDirectorySettingTemplate | Where-Object {$_.DisplayName -eq "Group.Unified"}
$setting = $template.CreateDirectorySetting()
$setting["UsageGuidelinesUrl"] = "http://www.microsoft.com/"
$setting["ClassificationList"] = "Secret, Confidential, Internal, Public"
$setting["DefaultClassification"] = "Confidential"
New-AzureADDirectorySetting -DirectorySetting $setting

# View settings to check for success
Get-AzureADDirectorySetting -All $true | % {$_.values}