No they don’t. I run an M365/Azure shop and not a single user out of hundreds has given their mobile number to Microsoft.
My personal consumer MSFT/Xbox account also has no mobile number attached.
My personal consumer MSFT/Xbox account also has no mobile number attached.
Most of our people including myself choose to enroll a personal phone rather than carry two devices, and somehow none of these hundreds of people ever provided their mobile numbers to Microsoft. I think you are mis-remembering the setup experience, or your employer chose to enable some non-default options that uses SMS as a backup option to the app.