Thank you for your post!
I was able to find a related issue and when it comes to the Microsoft Enterprise Skills Initiative being supported by Conditional Access Policies, this would need to be addressed by the Microsoft Enterprise Skills Initiative Support Team. Because the Enterprise Skills Initiative is considered a first party application, they'll be responsible for onboarding the application to the Conditional Access service. For more info - Enterprise Skills Initiative Support.
In the meantime, because your users aren't able to login to ESI from their personal device(s), and you aren't able to find and exclude the Microsoft ESI application from your CA policy - I'd recommend looking into creating exclusions that target the specific users accessing the ESI application, for example excluding users based off their device state, location, etc..
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I hope this helps!
If you have any other questions, please let me know. Thank you for your time and patience throughout this issue.