Managing personal Outlook.com account settings, security, and privacy
I had this same issue and have successfully resolved it.
When I was getting the "We cannot send a text message to this number" error message, I was using Chrome. On a hunch, I opened Microsoft Edge and tried it there.
Microsoft texted me the code right away!
Hopefully this helps some of you as well...
I'm pretty surprised I've been trying with Chrome and it actually worked with Edge. Thanks, mate!