Default security settings for Office 365 for first account logon on new device

Yup, they are connected. The PIN code requirement is enforced from the device, that's basically the "gesture" used for Windows Hello (or the fallback in this scenario). As this is considered very sensitive, it triggers the MFA challenge as well. You can disable it via GPOs (not recommended) or you can use an Intune policy that does not require Windows Hello (and thus the MFA challenge): https://docs.microsoft.com/en-us/intune-classic/deploy-use/control-microsoft-passport-settings-on-devices-with-microsoft-intune