You are able to connect to a DB using Synapse MFA authentication with an ODBC datasource. Please take the following steps:
Configure the ODBC data source using the option with AD Interactive authentication using a login ID entered by the user.
Next, add the same login mail ID used in the data source as the username in erwin DM connection dialog under Database Authentication.
Connect by providing the details as mentioned. The MFA pop-up for external authentication will appear and on successfully completing the same, you will be connected to the database from erwin DM.
There are further ODBC instructions in the Help Guide at:
https://bookshelf.erwin.com/bookshelf/public_html/2021R1/Content/User%20Guides/erwin%20Help/Connecting%20to%20SQL%20Azure.html