AAD (Azure AD) - Unable to join device to Azure

I’m going through testing using DUO to be used as our MFA method for Azure Active Directory. I’ve gone through the documentation ( Microsoft Azure Active Directory | Duo Security ) and ensured DUO Push works going through portal.office.com, works for mobile application authentication and desktop application authentication.

When I attempt to join a device (VM, in my case) to AAD it seems it does not recognize that DUO is being used as the MFA method - it is still looking to push through the Microsoft Authenticator App. Has anyone run into this?

I am pretty sure that Microsoft doesnt support 3rd party MFA like Duo for registering/enrolling devices into AzureAD. The 3rd party MFA is mainly used for AzureAD Conditional Access policies.