I had the same issue.
The solution to this is that for the first login time, your IT admin should be able to add your mobile number to the work profile details, in order that additional methods (SMS or call) can be used to get authenticator logged in and running.
Once you go to that login screen in Authenticator, add work profile, type password, then before it takes you to that unhelpful infinite loop of "authenticator requiring number from authenticator", click on "I can't use Authenticator right now" option (or worded something to that effect) and there should be a new option for sending authentication number to SMS. By default this won't have been possible previously, and you can't add this option by yourself I believe, but your IT admin can add your mobile number to your outlook work profile and also SMS as an authenticator measure.
Once you use the SMS received number to log in, then you should be sorted.