Found it (sorry, screenshots are in german...):
In an incognito tab open https://aka.ms/mfasetup
Do not log in directly, rather go to "login options":
log on to an organization
type the org domain
(here's the interesting part) Log on, using your guest account in the org
On the folloing page you can modify the MFA settings, exactly like you would using a corporate account. Additionally, in the top right corner, when you hover over your image it shows your personal account logged in into the org.
I only whish this was documented somewhere. 🙄