@wick111 , Yes, it works. When you configure more than one MFA provider in Azure, all those MFA providers do get listed in the section Access Controls --> Grant, while creating a Conditional Access Policy.
You can refer to the screenshot below for more info:
I also stumbled upon the following article from DUO, which speaks about configuring the Conditional Access Policy in Azure For DUO. You can refer this article too.
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Hope this helps.
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