Microsoft 365 features that help users manage their subscriptions, account settings, and billing information.
Ivan, yes this is very maddening!
From this page https://account.activedirectory.windowsazure.com/UserManagement/MultifactorVerification.aspx?BrandContextID=O365 all of your users will be shown. Make sure the users you want have the Multi-Factor Auth status of "Enforced"
Then login as that user. (In my case automated@) Jump through the 2FA hoops. In my case, SMS text to a cell phone.
Go to this page: https://mysignins.microsoft.com/security-info
Click the + to "add sign-in method" and you should see something like this with "App password" as one of the methods:
Does it work for you?