Managing personal Outlook.com account settings, security, and privacy
If someone knows your email address, even if they don't know your password, they can go to Microsoft website to use the "forgot password" option to trigger a 2FA ask. Doesn't mean your account is compromised, it is just that they are trying to reset your password, but if you don't approve the 2FA they will not succeed.
I get that this can get annoying if you receive a lot of these alerts. You can do this to prevent it.
Go to your Microsoft account online https://account.live.com> Sign in > Your info > Sign in preference. Add an alias - You have two options here:
Create new: this will allow you to use the native domain outlook.com to create a new alias.
Add existing: this will allow you to add a 3rd party email address, such as yahoo, gmail, as long as they are not already associated with another Microsoft account.
Once added, make this new alias your primary alias, do NOT delete the old alias. Then at the bottom, click on "Change sign in preference". On the next page, uncheck the box for the old alias. This means, from now one, the old alias cannot be used to sign into your Microsoft account, but it can be still used to receive emails, etc.