If you are really paranoid. Backup codes can be copied without you noticing. Even bigger risk if you bring them along while traveling, or worse, leave unattended in hotel room.

The Authenticator apps store keys in Secure Enclave (or at least I hope so). Which in themselves are 2fa by not being copyable thus requiring direct access to unlocked phone before using.

Of course that also comes with bigger risk of you locking yourself out, by forgetting Lock Screen password or phone getting bricked for some stupid reason. Printed paper don’t have that problem, except can also easily be lost.