What permissions does the SQL Agent's user need to execute Powershell scripts?
Don't use the PowerShell job step type. It doesn't behave the same as "regular" PowerShell, it's stuck at a specific (old) version of PowerShell, and it's got a host of other limitations. TL;DR: You won't be happy with the results.

Instead, use a CmdExec job step and have it execute powershell.exe. This will let you run the latest PowerShell, load any module, and have total flexibility in how things execute. Full details, including using a Proxy, are available at https://dbatools.io/agent/