Your non-Office 365 apps which utilize ADFS for authentication won't be able to use the Azure AD conditional access policies. You'll need to set up access control policies within ADFS for them since the auth requests for those apps don't touch Azure AD.
If you look at this chart you'll see that conditional access isn't supported with WAP. Web Application Proxy is only preferred in scenarios that require a proxy server for AD FS. If you want to make use of Conditional Access you need to modify the federation to use Azure AD instead of ADFS.
Official documentation:
A good blog post on this topic.