Ok, you may want to open a case with Azure support. I don't think I have ever seen that error.
Azure AD Connect : Connect to Azure AD: Authentication request was cancelled. Why? Nothing in Event Logs.
While setting up a second Azure AD Connect server, something is cancelling my authentication to Azure AD via DUO MFA after entering account username of Azure AD global administrator. I should get a pop up window from DUO to enter username and password, but instead I get a window that appears to open and closes and a message “Authentication request was cancelled. Learn More” in the AAD Connect application. I believe it is a Windows Server 2019 or AADCONNECT issue but am investigating DUO MFA also.
Troubleshooting Azure AD connectivity via logging into login.microsoftonline.com, microsoft365 and portal.azure.com shows connectivity as does entering an invoke-webrequest -uri adminwebservice.microsoftonline.com/ProvisioningService.svc in powershell returns a 200 or OK status.
Nothing shows up in the event logs on the server. Windows Firewall being disabled shows no effect.
Can you try with an account that doesnt require MFA?
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I have tried several accounts. One with no MFA associated with it. I tried my account with MFA bypassed in DUO. I tried my username@****.onmicrosoft.com. The authentication window pops up for a half second, closes and i get "Authentication request was cancelled".