The problem with Authenticator is that it is usually paired to a personal computer, on a personal phone (or a phone used for everything; the BYOD trend is a lot bigger with phones than computers). If your work accounts use Authenticator, even on relatively secure machines, compromising your personal laptop becomes enough to compromise the phone and thus work accounts, even if the personal laptop isn't used for those accounts. This is a bigger problem with the iPhone due to iTunes -- people pair with a machine which has a lot of music, may be used for general downloading, shared in a family, etc.
The attack can be done by pwning your personal computer, waiting for you to connect your iPhone via wifi or cable to it, and then remote-proxying the display on your phone to the attacker via the compromised personal computer. This would all be undetectable to the user.
Even a bad two factor system is better than passwords from a large service provider's perspective. Two factor using a phone isn't as secure as fully independent two factor for enterprise use.
Add to this that many high security environments don't allow phones, or that people carry only a single device (phone or maybe phone+tablet, often), and the "phone as two factor" becomes a lot less useful.
The big problem is having to carry multiple tokens, the cost of physical tokens (including replacement/management costs), and that no one makes a decent physical token at present.
iOS + some kind of "secure device-local mode" for the OS (which couldn't be remote-accessed for display, and which doesn't get pushed in backups (keystore-like), would make something like Authenticator much closer to a physical token in security.
The funny thing is WP8 actually has the tools to build this, and Enterprise (i.e. huge windows deployments with good device management) is the environment where it would be useful.