The Agent Script library allows XDR management console users (with the right privileges) to execute Python scripts on the endpoint. It might not be a great user experience for you to perform investigations in the way you are aiming for. Usually, investigators would isolate an endpoint, perform a clone of the asset and run investigations off the clone to preserve the integrity of the asset.
You can use the script titled "execute_commands" in Agent Script library as a template to create your own script to run Powershell commands on the endpoint by fetching the powershell project off a shared drive. It won't have that level of interactivity, though.
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