Unable to authenticate MFA for Azure Conditional Access

I am currently setting up an Azure portal using a free account which I am currently on a Premium 2 trial for Active Directory. Originally I was able to access the database using the credentials of a user called JP01. This user is part of a Database Admin group which was assigned to a sql server as an AAD Admin. This all works fine.

However, I also added a Conditional Access Policy to whoever accesses Azure Sql Database must also perform MFA and receive grant access. For the most part this all works. I try to login, it denies me, sends me to a login page which calls my authenticator app and I am able to approve it. The problem is even after I authenticate, I am still denied access.

My intent is to use not MSI but simply a connection string using AD Password Auth:

"Server=sds01.database.windows.net,1433;Initial Catalog=sdb01;User ID=JP01@testsitegmail.onmicrosoft.com;Password=passw0rd@123!;Authentication=Active Directory Password;"

On Azure Data Studio (not SSMS) I receive:

Login failed for user token-identified principal.

Programmatically I receive:

System.AggregateException: One or more errors occurred. (One or more errors occurred. (One or more errors occurred. (AADSTS50076: Due to a configuration change made by your administrator, or because you moved to a new location, you must use multi-factor authentication to access '022907d3-0f1b-48f7-badc-1ba6abab6d66'. Trace ID: ae3b2ad2-eeaf-4f2e-8783-526808d5a900 Correlation ID: b7f45074-f8b6-4813-9f0c-e578d067872c Timestamp: 2020-07-07 16:30:39Z)))

Azure Data Studio Log:

Microsoft.Data.SqlClient.SqlException (0x80131904): Login failed for user ''. at Microsoft.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection, Action1 wrapCloseInAction) at Microsoft.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj, Boolean callerHasConnectionLock, Boolean asyncClose) at Microsoft.Data.SqlClient.TdsParser.TryRun(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj, Boolean& dataReady) at Microsoft.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj) at Microsoft.Data.SqlClient.SqlInternalConnectionTds.CompleteLogin(Boolean enlistOK) at Microsoft.Data.SqlClient.SqlInternalConnectionTds.AttemptOneLogin(ServerInfo serverInfo, String newPassword, SecureString newSecurePassword, Boolean ignoreSniOpenTimeout, TimeoutTimer timeout, Boolean withFailover) at Microsoft.Data.SqlClient.SqlInternalConnectionTds.LoginNoFailover(ServerInfo serverInfo, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance, SqlConnectionString connectionOptions, SqlCredential credential, TimeoutTimer timeout) at Microsoft.Data.SqlClient.SqlInternalConnectionTds.OpenLoginEnlist(TimeoutTimer timeout, SqlConnectionString connectionOptions, SqlCredential credential, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance) at Microsoft.Data.SqlClient.SqlInternalConnectionTds..ctor(DbConnectionPoolIdentity identity, SqlConnectionString connectionOptions, SqlCredential credential, Object providerInfo, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance, SqlConnectionString userConnectionOptions, SessionData reconnectSessionData, Boolean applyTransientFaultHandling, String accessToken, DbConnectionPool pool, SqlAuthenticationProviderManager sqlAuthProviderManager) at Microsoft.Data.SqlClient.SqlConnectionFactory.CreateConnection(DbConnectionOptions options, DbConnectionPoolKey poolKey, Object poolGroupProviderInfo, DbConnectionPool pool, DbConnection owningConnection, DbConnectionOptions userOptions) at Microsoft.Data.ProviderBase.DbConnectionFactory.CreateNonPooledConnection(DbConnection owningConnection, DbConnectionPoolGroup poolGroup, DbConnectionOptions userOptions) at Microsoft.Data.ProviderBase.DbConnectionFactory.<>c_DisplayClass40_0.<TryGetConnection>b1(Task1 ) at System.Threading.Tasks.ContinuationResultTaskFromResultTask`2.InnerInvoke() at System.Threading.ExecutionContext.RunInternal(ExecutionContext executionContext, ContextCallback callback, Object state) --- End of stack trace from previous location where exception was thrown --- at System.Threading.Tasks.Task.ExecuteWithThreadLocal(Task& currentTaskSlot) --- End of stack trace from previous location where exception was thrown --- at Microsoft.SqlTools.ServiceLayer.Connection.ReliableConnection.ReliableSqlConnection.<>c_DisplayClass30_0.<b_0>d.MoveNext() in D:\a\1\s\src\Microsoft.SqlTools.ManagedBatchParser\ReliableConnection\ReliableSqlConnection.cs:line 314 --- End of stack trace from previous location where exception was thrown --- at Microsoft.SqlTools.ServiceLayer.Connection.ConnectionService.TryOpenConnection(ConnectionInfo connectionInfo, ConnectParams connectionParams) in D:\a\1\s\src\Microsoft.SqlTools.ServiceLayer\Connection\ConnectionService.cs:line 549 ClientConnectionId:95f719ed-a055-47fb-bf29-1a3576539286 Error Number:18456,State:1,Class:14