Does Workspace support RSA SecurID as MFA?

Amazon WorkSpaces support MFA with AD Connector directory service. A key requirement is an MFA solution that is a Remote Authentication Dial-In User Service (RADIUS) server or a plugin to a RADIUS server. Instruction for configuring MFA is available in the online docs.

Specifically RSA SecurID is supported by WorkSpace since it also supports a RADIUS server. I have a customer that has this implemented successfully.
What you should do is to troubleshoot the connectivity from the AD Connector Directory Service to the RADIUS server and ensure the proper ports used for RADIUS communication are enabled. Confirm your shared secret is correct. By default, the radius port is set to 1812.
If the RADIUS server is configured to use a different port, then you will need to adjust as appropriate.