You didn't actually set up 2FA. You set up your authenticator as an alternative method of single-factor authentication. This is clear from the first screenshot: "... to sign in without a password". If it didn't ask you for a password in the first place, it's probably not 2FA; the password is one of the two factors. The way I read this question it seemed like you'd gotten that prompt after entering your password, because that's when any second-factor authentication prompt would appear, but it looks like that's not what happened.
Go to https://account.live.com/proofs/manage/additional and click "Set up two-step authentication" if you actually want 2FA. You will still be able to "remember" trusted devices after you've completed the two-step auth on them, but any time you try to sign in using a new device (or a private browser, etc.) it should ask for both factors.