@tarou chabi , In General, SCCM and Intune are both used to manage device and apps. For the internet devices, we can do Azure AD-joined and enroll into Intune to mange. For the devices in on-premise domain, if we want to use both tools to manage, we can consider co-management.
From Intune side, the OS supported by Intune are as below. It didn't have too much different on a Physical machine or virtual machine.
https://learn.microsoft.com/en-us/mem/intune/fundamentals/supported-devices-browsers
Conditional Access is the tool used by Azure Active Directory to control access. This feature needs Azure AD Premium P1 license.
https://learn.microsoft.com/en-us/azure/active-directory/conditional-access/plan-conditional-access
For Azure AD registered device, when it enrolls into Intune. There will be some limitation. For example, Win32 app is not supported for Azure AD registered device.
https://learn.microsoft.com/en-us/mem/intune/apps/apps-win32-app-management#prerequisites
For a device, we can only choose one enrollment type for it. For co-management and GPO enrollment, the prerequisites is that the device needs to be Hybrid Azure AD joined. We can choose one refer to your requiement. Here is an article for the reference:
https://learn.microsoft.com/en-us/mem/intune/enrollment/device-enrollment#windows-enrollment-methods
For the security threats, I am not familiar with it. Did you means we have set it on Azure via the following modules? if yes, it can protect.
https://learn.microsoft.com/en-us/learn/modules/protect-against-security-threats-azure/
Hope it can help.
If the response is helpful, please click "Accept Answer" and upvote it.
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.