@Thomas Carbone Welcome to Microsoft Q&A thanks for posting your question
Your MFA options are set by Azure AD / Entra ID, not SQL. please check your user/tenant configuration there.
For not requiring MFA every time you run it, you can either use connection pooling or manually retrieve an access token for your user and reuse it for all new connections. If you repeatedly create a new connection without pooling, you will have to keep authenticating.
You can also follow the document here https://learn.microsoft.com/en-us/entra/id-protection/howto-identity-protection-configure-mfa-policy
Regards
Geetha