It is currently possible to set a convenience PIN on Azure Active Directory Joined or Hybrid Active Directory Joined devices. Convenience PIN is not supported for Azure Active Directory user accounts. It is only supported for on-premises Domain Joined users and local account users.
You're out of luck. Convenience PINs aren't supported for pure AAD accounts: https://docs.microsoft.com/en-us/windows/security/identity-protection/hello-for-business/hello-faq#can-i-use-a-convenience-pin-with-azure-ad