The 2FA is already setup at the Azure Active Directory level is that enough or should require any changes to comply with salesforce MFA requirements for SSO?
From the MFA requirement documentation here
To ensure that MFA is enabled for all your Salesforce users, you can turn it on directly in your Salesforce products or use your SSO provider’s MFA service. Salesforce products include MFA functionality at no extra cost.
So from the above, if your SSO Provider is Azure and all your users use Azure SSO to login and you have MFA enabled in Azure then that's all Salesforce will care about.