Allow users to set TFA at login

There’s an option to make two factor authentication (TFA) required for users, and there’s a text field in the admin system when configuring this that says:

If TFA is not active on a required account, then allow them to login but redirect them from any other page to (e.g. your preferred page where they can set it up – make sure it is the WordPress canonical URL for the page so that a redirect loop is not set up):

/wp-admin/admin.php?page=aiowpsec_settings&tab=two-factor-authentication

The problem is I can’t find any information about how to setup such a page on the frontend?

Ideally when users log in for the first time they would be redirected to a page that requires them to setup TFA before they can access the admin system.

At present, it just blocks users from logging in with the following message:

The site owner has forbidden you to login without two-factor authentication. Please contact the site owner to re-gain access.

So I guess there are 2 issues here:

1. It seems like a bug to me that users are blocked from logging in if a page it set in this field (I tried setting it to the admin page for setting up TFA, but that didn’t work)
2. Is there any documentation or guidance on setting up a “preferred page where they can set it up”? I can’t seem to find anything.