Duo SSO has three ways to authenticate your users:
1. Duo as the identity store (FortiGate > Duo SSO > Duo verifies primary creds for users directly in Duo without connecting to another directory).
2. Active Directory as the identity store (FortiGate > Duo SSO > Duo Authentication Proxy (LDAP) > Active Directory > AD DC verifies primary creds).
3. Entra ID (Azure AD) as the identity store (FortiGate > Duo SSO > Entra ID (SAML) > Entra ID verifies primary creds).
Only #2 needs you to install Duo Authentication Proxy.
Have you read through https://duo.com/docs/sso#external-authentication-sources? It explains external authentication options for Duo SSO.
Duo, not DUO.