Same question here but I guess cloud policy shall take precedence over other methods.
"Also, policy settings implemented by using Cloud Policy take precedence over policy settings implemented by using Group Policy on Windows Server, and taking precedence over preference settings or locally applied policy settings."
https://learn.microsoft.com/en-us/deployoffice/admincenter/overview-cloud-policy#how-the-policy-configuration-is-applied
In addition, I have a device receiving both kind of policy and works just fine.
(Cloud Policy is assigned to a user whose device is the target of M365 App Security Baseline in Intune.)
Updated Jun 08, 2023
Version 2.0