Yes they do when your M365 using employer insists that you have to use the authenticator app on your personal phone and won't provide an alternative option.
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.