Adding 2FA for Gnome screensaver when VNC - REHL 6.8

I have 2FA working using SSH and sudo but when I do VNC:
- VNC Viewer connect to the machine.
- Lock the screen.
- Login again, it login directly without 2FA.

I know so far it using Gnome screensaver when locking. And can only file log in audit.log :

type=USER_AUTH msg=audit(1580329686.478:24171): user pid=4382 uid=500 auid=500 ses=3725 msg='op=PAM:unix_chkpwd acct="tems_adm" exe="/sbin/unix_chkpwd" hostname=? addr=? terminal=? res=success'

Tried to change PAM like when I do with SSH and sudo, changed: system-auth, password-auth, login, other, gdm, gdm-password, gnome-screensaver.

Nothing work, how can I debug this, or I misunderstand how it authenticate? I attached the lock screen. Thanks