When you say you're not getting prompted for MFA within GP, is this when you're setting up Modern Auth, i.e. putting the Application Client ID into the Company Email Settings window, but it doesn't prompt you for the Azure admin credentials when you save changes to that window, or are you past that?
If you already set up Modern Auth and entered a Azure admin account when prompted upon saving the changes to the Email Settings window, when you attempt to email, are you still seeing the 'Exchange Log On' window asking for credentials, or the normal email, password and then MFA (if applicable) windows like you'd see in any other application when prompted?
If still seeing the 'Exchange Log On' window, then the Modern Auth wasn't setup correctly and i would try removing the Client ID and re-adding it, after logging out and back into GP.
If not being prompted at all for user credentials when emailing, even after logging out and back into Dynamics GP, verify that the System Preferences window shows 'EXCHANGE' selected.
After that, we may need a support case opened to look at this with you.
Thanks