How MFA delete is differs with object-lock ?

MFA Delete protects against accidental/permanent deletions in versioned buckets using MFA, while Object Lock is no overwrite or delete for compliance, even against the root user in Compliance Mode.

Which Fsx file system supports Multi-protocol ?

FSx for NetApp ONTAP

Can AWS Fsx file system supports Unix /Linux ?

Yes AWS FSx supports Linux/Unix, but only with FSx for Lustre

What is the difference between Fsx Lustre and Fsx Windows server based on use cases ?

Fsx Lustre - when we need high-performance computing.
Fsx - It is for Windows File Server when we need SMB shares, Windows-native apps

Does Directory bucket supports Glacier storage class ?

No. They are only for Express One Zone storage class.