I have not seen any response so we got a Mac and did the manual supervision and it worked.
I just came across this question or else I would have responded sooner as I went through this as well.
The device MUST be supervised to activate kiosk mode via the MDM. Apple's "manual" process is not really effective as it doesn't lock down everything and you can easily exit the kiosk mode.
I use kiosk mode when I have a device that needs to be locked down but not wiped. I have the kiosk mode lock it to the system clock and prevents touch and button usage.