At no point during setup does Microsoft Authenticator app collect your mobile number. That is in fact the whole point of the app: SMS is insecure for 2FA so collecting a mobile number makes no sense.

Most of our people including myself choose to enroll a personal phone rather than carry two devices, and somehow none of these hundreds of people ever provided their mobile numbers to Microsoft. I think you are mis-remembering the setup experience, or your employer chose to enable some non-default options that uses SMS as a backup option to the app.