I apologize for the long delay. Thank you @PhilipDAth for the info! I have been using SAML and Conditional Access in Azure and require BOTH options of "Require Hybrid Azure AD joined device" and "MFA" to grant access. It works very well.
Maybe I am still struggling to understand that Certificate Authentication option mentioned in my original post and what you explained earlier. Are you implying this is an option to use IF I use RADIUS only and to NOT use if I use SAML? Selecting the Enabled setting only allows to upload a "file".
I am not an expert on the certificate side of things but a CSR of some sort would need to be used, right? I was watching a video on YouTube about the Certificate Authentication setup for Cisco ASAs, just to get an idea of the whole concept. There is evidently information to be used to and from the ASA in order to complete the setup. And by looking at the MX interface, it looks like things are "missing" or not well explained. But now I am re-reading your post and I am guessing it's not needed (or can't be used) with SAML.
I used TDN in the AnyConnect profile to disconnect the client when inside the office. But that wouldn't stop the user from clicking on Connect again and still successfully connect while inside the office. So I created another Conditional Access rule to NOT grant access to an AnyConnect connection IF the user is physically located at a Trusted IP site (in the office). Works well as well as I get an Azure message telling me I cannot go past the SAML step. This should be clear enough to remind the user to stop trying.