Two Factor Authentication

I've tried doing it a couple of times. However, it just... turns on. It never asks me for another form of authentication. My work has an app that requires me to double check my sign in. Google is similar. Other places have me answer an email. Apple 2FA just signs in. It seems fine until stuff stops working, like the app store.

This is the most jacked up version of 2FA I've ever seen. I've never been able to get it to work. It never asks me for another form of authentication. So, what am I missing? Apple certainly pushes it hard enough. This is ridiculous.