@Pavel yannara Mirochnitchenko, Thanks for posting in Q&A.
From your description, I know Windows Hello for Business does not work if set with Settings Catalog using the same options as you did with Identity Protection.
Based on my research, Windows Hello for Business (WHFB) is designed for user-based authentication and requires each user to enroll their credentials, and WHFB enrollment is tied to a single user. So, ensure the user was assigned necessary licenses and has logon in targeted devices and sync with Intune.
Moreover, please go to targeted devices and launch Event Viewer (eventvwr.msc) and navigate to Applications and Services Logs > Microsoft > Windows > User Device Registration > Admin to see if there exist error message.
https://www.manishbangia.com/configure-windows-hello-for-business-using-intune/
Non-official, just for reference.
Please check above information, if there is any update, feel free to let me know.
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