I contacted Bluesky about the issue I have with not receiving their 2FA emails, we ran through a bunch of troubleshooting together including checking that the email address that is registered on my account is correct.
So, I contacted Microsoft Support, they would not help unless I could provide an SMTP email log from Bluesky proving that they are sending the email.
What I found ridiculous is Microsoft Support would not even entertain looking at my email account / receive log at their end to check if anything was being received from blue sky or to check how routing / spam filtering was being applied to my account. So, in effect pushing the issue back to Bluesky.
I have pretty much given up of any hope of gaining access to my account and will probably end up creating a new account with Bluesky using a non-Microsoft email address, as others have ended up doing with the same issue.
Just in case it helps others here is as summary of troubleshooting I have taken so far:
All tested using the web version of Outlook.com to rule out any local email client issues.
* I can send and receive email to/from other senders.
* I can send and receive email to/from BlueSky support at ******@bsky.app
* Checked Junk email / Spam email folder.
* I do have not any configured email 'Rules'
* Added bsky.app bsky.social and noreply@bsky.social to safe senders / safe mailing lists (as per BlueSky Support)
* Added *@bluesky.com, *@bsky.app and *@bsky.social to safe senders / safe mailing lists (as per BlueSky Support)
* Tested with different browsers (Edge/Chrome/Firefox) on different computers.
* Disabled all Adblockers, also tested on a PC with no Adblockers installed.
* Tested with different DNS providers set on my local computer.
* Tested with different computers on different physical networks / broadband providers.
* I have the same issue when attempting to log into the BlueSky App on my Mobile connected to 4G / 5G
Junk Email Settings outlook.live.com
* Incoming mail handling: Standard
* Security options (Both Unticked)
*Blocked senders and domains (Empty)