Thank you for posting this in Microsoft Q&A.
As I understand you are trying to change the default sign-in method for your account which is a global admin. But unfortunately, the option is greyed out.
If the Default sign-in method (Preview) is greyed out, the user has no default MFA or only one sign-in method. Therefore, the user needs to add another Authentication method.
Once you add multiple sign-in methods to your account you will see the option something like below,
As shown in the above pic, I added registerd this user to use multiple MFA methods and now I am able to see the option to change the default sign-in option.
Let me know if you have any further questions.
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