Setting up MFA for a Microsoft Entra shared account

Microsoft Entra admin center
=> Entra ID - Authentication methods 
=> Software OATH tokens
=> Set Include groups
(this step might not needed)

Browse "Security info" of Shared Account (https://aka.ms/mfasetup)
=> Add sign-in method
=> Choose Microsoft Authenticator
=> I want to use a different authenticator app
=> Finish the setup with OTP App you want to use (Microsoft Authenticator will do)

*. You may want to change the "Default sign-in method" from "Microsoft Authenticator - notification" to "App based authentication or hardware token - code" to avoid high App Notification frequency.