Thanks, I looked at that thread before posting my message. That is the kind of information I am looking for, but it is Python not Powershell. Ultimately the Python and Powershell deal with parameters a little differently (Python doesn't meet my requirements at this time).
I managed to get a little further, but I am still stuck.
I figured out that I need to include the square brackets in the name of the key, and I can get it working with a single value ('includedEventTypes' = 'client_vpn_connect'):
Ah OK, I think I've figured out the issue, which is that these query parameters should be passed in the resource as opposed to the body. If you modify the URI to be something like the following, it should work: