Hi @Shanmugham, Sudha ,
There is a few apps you need to use in conditional access policies and it depends if you have AVD based on ARM or classic. Please verify you chose the correct app ids. You can look into this guide to compare with your settings:
https://learn.microsoft.com/en-us/azure/virtual-desktop/set-up-mfa
Please upvote or accept as answer if it helped.