@PhilipDAth
I should clarify the difference between Azure and DUO
In our environment, we work closely with Microsoft and trust them with a cloud solution.
DUO we never heard of them I am sure they're a great company but they are not in our trusted vendor's list.
It too long of a story who gets in and who does not get in but they do not meet our requirement to be trusted.
That said I install MFA on windows 2016 point it to firewall it solves the issue.
It seems Windows 2016 does not install NPS when you install MFA server which the below OS version does and maybe that was the issue