Set the OPNSense LDAP connection to use the DN rather than the domain\user format or DUO fails to recognise it as the same user.
By default the Authentication Proxy doesn’t require 2FA for the first bind in a connection. This is to support systems that bind as a service account, search for the user account, and then bind as the user.
It looks like your system may connect and bind as the service account, then disconnects, then connects again to bind as the end user.
Look at the exempt_primary_bind and exempt_ou_1 options and try settingexempt_primary_bind=false and exempt_ou_1=the DN of the service account.