Upon investigation, all of these users were on AAD joined devices and used PIN or FaceID authentication to log on their machines.
To work around the problem, one could either :
- Open PMP in a private tab, forcing password and MFA use every time
- Lock the AAD joined device and unlock using a password, then go to PMP
On the server, a permanent fix is possible by adding the undocumented value
- saml.AuthnContextRequired=false