When starting with Microsoft Intune, you must setup a MDM (Mobile Device Management) authority to continue. This MDM authority can be set on Microsoft Intune (using the SAAS solution), ConfigMgr (using the hybrid solution) or Office 365 (included with Office 365 commercial subscriptions). During a hybrid installation (which is ConfigMgr connected with Intune) the MDM authority was already set to Office 365. That way it isn't possible to connect it with ConfigMgr.
Unfortunately the only way to reset your MDM authority is to call Microsoft Intune support and wait 5 business days at maximum to get the job done. After that it can be configured for Intune or ConfigMgr again. Hope that Microsoft can simplify the process in the future, so that people can do it themselves. Very annoying to wait several days, when you know the action can be done within a few minutes..
When the reset has taken place (there may be no devices enrolled within Microsoft Intune), you can set the MDM authority again. Just make sure to choose the right one this time :-)
Note: Microsoft mentions that the reset is done in US only, so no luck for EMEA people who want to have a quick result.
Update: In the end it took almost 6 (!) days to reset the MDM authority. My project is delayed 2 months because of this.
Microsoft Intune support
Contact Assisted Phone Support for Microsoft Intune