@Aran Billen, Thanks for posting in Q&A.
From your description, I know you have deployed WHFB policy to device but there is no prompted to set up it.
Based on my research, when the policy was applied, we should restart the device to set up a PIN and, when the users log in to their windows profiles the first time after a reboot or shutdown, the sign in options for windows hello are not available, so the user has to log in using password. After that first time, if the users lock their computers, they can now unlock them using windows hello for business PIN. Please login with the password for one time and see if we can see the PIN option after lock.
If the issue still persists, please check if there exist some error message in Event Viewer. Location: Applications and Services logs > Microsoft > Windows > DeviceManagement-Enterprise-Diagnostic-Provider > Admin.
If there's any update, feel free to let us know.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.