Microsoft Multi-factor Authentication not working with Remote Desktop in Microsoft Windows 2010 - windows-10

We have configured MFA for our users in our organization tenant in MS Office. We are login Microsoft Windows using our Azure AD login (work or school account) from our office local PCs.
In the daily routine, we need to remote our office other machines as well using our own Azure AD login. Now, the thing is, without configuring MFA, we can successfully do a remote of other machines. But after configuring MFA, it is being stopped and below message we are getting.
Could anybody help me to resolve this?

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I am trying to make Windows Authentication (with Kerberos/NTLM) work in a Web App hosted in IIS using Azure AD Federated users but seems it does not work. Below are the whole infrastructure details:
I have an Azure AD (e.g. skj.onmicrosoft.com) with Azure AD Domain Services Configured
I have an on premises Windows AD (e.g. skjtest.com) which is federated with the Azure AD. The on-prem users are available in AAD, SSO works but the password hash is not synced with AAD.
A VM is created in Azure and joined to the AAD Domain skj.onmicrosoft.com
I created a Web App which uses Windows Authentication and hosted in IIS present in the above Azure VM
When I try to login using an AAD user (e.g. aaduser1#skj.onmicrosoft.com) to the web app, it works all fine using both Kerberos and NTLM
However when I try to login using a federated identity (e.g. feduser1#skjtest.com), it fails showing a 401 Unauthorized Status code.
Here my question is, is this at all possible to make the Windows Auth (with Kerberos or NTLM) work with the Federated identities? If yes, please let me know the ways I can achieve this.

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