Yes, we noticed this as well across our users. Luckily, half of our users in a specific department utilize a key gen "dongle" that they carry around that generates a 2-factor code for them to enter. Our other users have a Yubikey assigned to them. It pretty much appears that as long as the default method is NOT text or call based, microsoft is fine with that for 2FA purposes.
And to be honest, I feel like the authenticator app itself is the easiest way to login anyways. I do understand your users may not like it, but I'd try to get them to buy into that idea otherwise you could always tell them that they would next need to start carrying around a physical device that allows them to log in...
It makes sense too, as text/call methods for 2FA is pretty easy to get around. (compared to most other methods)
Sorry I don't have any other beneficial info at this time. I'm curious to hear if you find anything else out though.