I am looking for a DNS registrar that supports strong multi-factor authentication.
Does any DNS registrar support multi-factor?
Is this a legitimate need?
I'd say that this could definitely be a legitimate requirement. Control over DNS records for a domain can give a lot of power to an attacker (adding new hosts in a domain for a phishing attack or even redirecting a comapanies home page), so protecting it from attack is important and as with all publicly accessible high-value services, using 2-factor auth is good thing to consider.
As to providers that support it DNSimple is one that does.
I just did a similar search across some name registrars and it seems that Name.com and GoDaddy both support 2FA, the former using the Verisign/Symantec VIP and the latter using SMS for US numbers only.