I have not set this up specifically, but I have integrated a ton of things with Azure AD. Do you have your Azure AD setup to work with Duo at all yet? Our first thing we setup was our Office 365 and once that was working everything else worked seamle...
I never had this setup on a server, but had it for logging into my laptop. I used a Yubikey for the second authentication. You can definitely set this up. You just have to add it as a device on the users account.
This feature has been released and works really nice. I have it implemented using a YubiKey. This makes it much faster to login, since you are doing it so often throughout the day.