Cloud Drive Mapper is listed as an Enterprise Application in your 365 tenant so its fully compliant with any conditional access (CA) policies that in use. If CDM is needed to be excluded from MFA then it can be done so by excluding it from the CA policies that are controlling MFA. 

To do this login to Azure admin and navigate to Azure Active Directory / Security / Conditional Access and select the policy that you want to exclude CDM from. 

There is currently a limitation with how excluding apps can be achieved. We have spoken to Microsoft about it and they confirmed that its a known issue. It means that the option to include all cloud apps and exclude a single app does not work.

To exclude CDM firstly the include section needs to be set to 'Select apps' and all required apps need to be added individually:

Then the exclude section needs to list the Cloud Drive Mapper app:

This will then exclude CDM from MFA that is controlled by the CA policy. 

Further information can be obtained from