I realized that I still had Wordpress authenticating directly to the LDAP server using a plugin, and based on this link,
https://community.privacyidea.org/t/2fa-workshop-at-tuebix/484
The Wordpress plugin authenticates users only against privacyIDEA
So, I removed the LDAP auth plugin and relied entirely on the Strong Authentication plugin. Still no success. Lots of communication between Wordpress and the privacyIDEA server, but never successful authentication. I am baffled.