The Auth0 Provider in this case is only for the users-permissions plugin (REST/GraphQL) and in theory yes you could use MFA for this as it happens outside of Strapi.
The Admin panel answer is no, not yet. We are planning to release an SSO feature soon for the Admin panel, however it is only for the EE Gold edition. Once SSO releases we will open up a feature discussion to allow the community to give their feedback. However I will directly pass this feedback I’ve already seen from you to the internal team.