Thank you for posting this in Microsoft Q&A.
"I understand you are asking how to change the behavior of their Azure AD External ID preview tenant's SSO process. Specifically, you want to use the Authenticator App for MFA instead of receiving a code sent to their email address as a second factor of authentication.
This is the expected behavior. As of now, External tenants support two methods for authentication as a second factor: Email one-time passcode and SMS-based authentication.
Unfortunately, so far, you can't use the authenticator app for MFA instead of receiving a code sent to their email address as a second factor of authentication."
For more information: https://learn.microsoft.com/en-us/entra/external-id/customers/how-to-multifactor-authentication-customers
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Thanks,
Navya.
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