Thank you for posting this in Microsoft Q&A.
As Pawan Nrisimha mentioned above, SMS OTP is still in Private preview and it is not available for all the tenants in working condition. This feature might be working in few opted tenants and in few tenants, it might not be working.
About the authenticator app for external ID users, currently we are not sure if this feature will be lined up for future. We do not have any particular timeline for the same.
However, you can submit your feedback in Azure feedback portal asking for this feature.
https://feedback.azure.com/d365community/forum/22920db1-ad25-ec11-b6e6-000d3a4f0789
Let us know if you have any further questions.
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