Supposedly, if you click on the 2FA link on a mobile, it will launch your 2FA app to capture the info. But if that doesn’t happen, you can right click on the button, and copy the secret to create a record in your 2FA app manually. The app has to support SHA-256, so I think pretty much Authy, Microsoft Authenticator, Google authenticator, etc. are out. Supporting apps include 2FAS and Aegis.

If this can’t be done, you should click Remove 2FA and save. Otherwise, you might loose your account. On some instances and on Firefox, you may want to do this with all the extensions disabled. Some extension seems to somehow get you logged out clicking refresh.

Minimally, a web browser on other platforms with Task/Calendar opened and notifications enabled, or with an extension, would suffice. However, this may not be customizable enough.

I believe this is how Microsoft implements verification so that users do not have to remember their passwords. You can probably disable it in Security > Advanced security options > Send sign-in notifications.

Personally, I find this very convenient, especially when logging into a new device/app/service for the first time. However, I imagine that if someone else is trying to get into my account online, it would be the first thing I disable, switching back to entering my password by default.