Hi Russell Ang,
Thank you for contacting Q&A Forum. I would like to provide my findings and proposed solution:
Yes, it is possible to require MFA before accessing Microsoft 365 services, even if the device is automatically connected to the internet and GSA
This can be achieved by configuring Conditional Access (CA) policies in Microsoft Entra ID.
Kindly let me know if this work for you and please let me know if you have any further questions.
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Best regards,