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.
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Grego2020 21 Reputation points
2020-12-17T20:21:33.437+00:00 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".
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