You need to configure the Device settings to meet the technical requirements and the user...

Box 1: Selected

Only selected users should be able to join devices

Box 2: Yes

Require Multi-Factor Auth to join devices.

From scenario:

Ensure that only users who are part of a group named Pilot can join devices to Azure AD

Ensure that when users join devices to Azure Active Directory (Azure AD), the users use a mobile phone to verify their identity.