On-premesis SQL Server setup for MFA against Azure AD

I am trying to set up multi-factor authentication in SSMS using an on-premesis SQL Server (Standard Edition). I believe the SSMS is simple enough. Under the "Login" tab, I have chosen "Active Directory – Universal with MFA support" and have my user name (like "john.doe@example.com").

Login tab

Under "Connection Properties," I put in a specific database and my Azure AD tenant ID (guid):

Connection Properties tab

When I try to log in, I get a popup from Microsoft, which I assume is the SSO login:

SSO Login

However, when I put in my password, I get error 18456, State 1:

Error 18456

I assume this is because I need to add the user on the server side. However, I have not been able to find how to do that for an on-premesis SQL Server (there are plenty of guides for Azure SQL). I am using Standard Edition 2017. What do I need to do to complete the setup?