MFA only applies if SSO is configured, to configure SSO please follow this article:
https://help.redteam.com/en/articles/8983106-redteam-flex-configure-entra-id-formerly-known-as-azure-ad-sso
Entra ID MFA:
The recommended way to enable and use Microsoft Entra multifactor authentication is with Conditional Access policies. Conditional Access lets you create and define policies that react to sign-in events and that request additional actions before a user is granted access to an application or service.
Conditional access requires a premium license
To set conditional access policies, an account with Conditional Access Administrator, Security Administrator, or Global Administrator privileges is required.
Conditional Access policies
Navigate to Entra ID > Security > Conditional Access. Under Policies select + New policy.
2. Enter the name that you want for your policy.
3. Under Assignments select users or workload identities.
4. Make sure to select User and groups, under Include click the option to Select users and groups, and add a checkmark next to Users and groups.
5. Under the select option browse and select a Microsoft Entra group or user.
6. Next we will select the application that this policy will apply to. Under Cloud apps under include choose Select apps and select your application.
7. Under Access Controls select Grant access and check Require multi-factor authentication.
8. To complete the process, set Enable policy to On and Create.