I found a solution.
Hope this will be useful for the one in the same situation.
This is a work type account. Not personal, not school.
Originally the problem was that I could not change the windows login authentication from password to pincode because it said "you cannot change the pincode, is handled from your organization"
The account I have is not a Microsoft account, hence if I try to login into Microsoft account page I will get an error saying that does not exist.
I have gotten this account via Azure account because I have purchased Office 365 services.
The account I have is a GLOBAL administrator in Azure portal.
Apparently a Global administrator cannot take away the MFA of itself.
I could not access to my security information in my account page because got prompt with MFA on the auth app, which I dont have.
I have tried to download and sign in into the authentication app but i have gotten prompt the MFA there also.... ->bad circle here....
I notice there were a total of 2 Global administrator.
The second Global administrator had a password reset option with my account.
So I have changed the password of the second global administrator via password reset to my account.
I then logged in with the second Global Administrator , clicked on re-register MFA and took away the MFA of my account and choose another authentication method.
Not sure how to solve this if I were the only Global admin or if I could not reset the password of the second Global admin.