First of all, web api project should be a daemon application so it doesn't have a sign in page as normal, nor a redirect url for AAD. And we can integrate AAD to protect our api but the api shouldn't ask users to sign in first.
In your scenario, it looks like you want to let users sign in in your react frontend app, then generating access token to calling the protected web api. I think you need to refer to this sample to integrate MSAL library in your react app(this sample containing an api written in nodejs, you can ignore api part since you had asp.net core api), and this sample for protecting your web api. You may also take a look at this answer.
And go back to your CORS issue, it appeared because you didn't use MSAL.js in your react app but directly going to the login URL. Microsoft identity platform required developers to use the library. I used to using ajax request to send a get request to the login url, and I got Cors issue as well.