In my dealings with the JAMF MEM/AAD integration, I discovered it is absolute hot garbage that Microsoft has no idea how to support. Honestly it should not exist with how poor the experience is.
The issue you are seeing is actually what caused me to retire the JAMF MEM/AAD integration. My hunch is it had something to do with the authentication work flow that was happening within Company Portal. Sometimes authentication worked exactly as expected. Other times the authentication work flow would go down a rabbit hole and try to trigger the appstore to open to Microsoft Authenticator which does not exist for macOS but would be expected behavior for iOS/iPadOS. Microsoft could not figure out why it was doing this after 3 months of tickets so I killed it all. The best Microsoft could say for us it was something configured wrong in Azure but could not provide any more direction, we all know how complicated Azure is and I am not the Azure admin.
It is also possible one of your network filters, or SSL redirection tools could be eating something.
