Pretty sure you can remove sms from the 2fac process by going to:

My Account > Security & Privacy > Additional Security Verification > Update Your Phone Numbers Used for Account Security

And then setting the preferred method to "use verification code from app". Once you finish setting up the authenticator app you can delete your phone number from the 2fac list.

At the end of that process you should be left with only having the app authenticator as a 2fac option.

See https://docs.microsoft.com/en-us/azure/active-directory/user... for some details, but the MSFT documentation on this isn't very good in general.