What I find increasingly annoying is third parties (i.e. those whose primary service isn't to provide authentication or MFA, specifically) trying to route me through their mobile apps for a second factor.
For example, GitHub and Google (via their Gmail mobile app) are constantly nagging me to open their apps for certain actions such as modifying security settings on a GitHub repository or even just logging in to Google Workspace.
While certainly more secure than SMS, I'd like to use an authenticator app of my own choosing for that process (e.g., 1Password or Authy). While that's still possible, UX-wise that requires an additional step and possibly also brings about the risk of being flagged by some internal fraud detection system.
To me, this feels like they're trying to promote their apps and increase user retention and interaction by means of what superficially looks like a beneficial security feature.