Microsoft has upgraded Multi Factor Authentication and when you use the MFA app now it will show you on the login screen a code that you will need to replicate on the Authenticator app:
this is how it used to look before:
And this what it will look now:
When Microsoft asks for the MFA check it will also show a code that you need to type in on the MFA app
This extra step is only when using the MFA app (not used when sending text)