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To put it succinctly they aren’t. They’re interested in aggregate data so that a data engineer can use it to understand consumer trends and better predict marketing reach.
It’s not specifically about you, it’s more of a what they can claim to know about their consumers.
When setting up the authentication when it asks you to set up Microsoft authenticator there should be a drop-down at the bottom of the page that says use another option that will allow you to use a phone call or text message as your chosen method of authentication.