Hi @Borut Barlič
Thank you for posting your query on Q&A.
I’m sorry to hear that your user accounts have compromised even though the MFA is enabled.
The reason Threat Actor can still login through single authentication into Exchange Online is that your organization has not disabled the Basic Authentication. Basic Authentication is a legacy method that only requires a username and password which there is a chance of susceptible to attack, it doesn’t support multi-factor authentication (MFA), which is why the Threat Actor might still be able to access Exchange Online even if MFA is enabled.
To Prevent this, you can disable the Basic authentication in Exchange Online for more details you can refer the Disable Basic authentication in Exchange Online.
To protect the user accounts and password you can use below security features from Entra ID.
Password Policy
Account Lockout polices.
Microsoft Entra ID Password Protection
I hope this answer helps! please Feel free to ask any questions you may have.
Reference: https://learn.microsoft.com/en-us/entra/identity/conditional-access/block-legacy-authentication
Thanks,
Akhilesh.
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