Based on the above problem, the issue is that the Microsoft Authenticator app on your new phone is not receiving push notifications or generating the pop up to enter the two-digit code. This is the common issue when setting up the app on new device. Few general steps can be followed to take troubleshoot this problem
Check App Notification by checking your phone system settings to ensure notifications are enabled
Verify date and time settings as phone time is set to "Automatic" and sync up with network
Use an alternative sign in method as look for other options that says "sign in another way" or "Can't access your account?"
Update your security info after login in through alternative method
lastly contact your admin team of organization for troubleshoot and syncup with phone
Hope it may help