Duo is just a widely used third party multifactor authentication app, which is useful for organizational cybersecurity.
I had it on my phone for years working at a hospital and really never had any privacy concerns with it the way I have with other apps. The convenience of being able to respond to work emails on your phone is totally worth it
Are you sure it has permission to track your location? I’m not seeing that one. Either way, they share nothing with your employer