Turns out it was because the machine had Cisco Duo installed. This is not compatible with the Azure SSPR link.
Azure SSPR at Windows 10 11 logon screen

Help!
Can't get azure SSPR logon link to work
Works great in my home test lab though!
Now using my works PC for testing. Moved PC to OU blocked from group policy. Corp firewall set to allow my traffic out whilst I validate.
PC is Azure hybrid joined ok
ADConnect syncing computer objects, and seen in Azure ok
Azure password write back already in place and working
My account has MFA, Prem license, SSPR working through the cloud ok
Windows 11 PC
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\AzureADAccount
Create the DWORD value of "AllowPasswordReset"=dword:00000001
Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\System
Set the dontdisplaylastusername value to 0
When I click the reset password link nothing happens. Not even a blank windows appears. Just nothing.
any ideas?