The two factor authentication option cannot be found when the settings button has been clicked.
Users > Active users > select user > Manage multi-factor authentication > select user > enable
When the user logs is, he/she has to enter his/her phonenumber, choose between receive a text message or phone call. Once the phone number has been entered, a text message could be received, the number be entered and login to office.com.
Note: it seems that two-factor authentication is multi-factor authentication in office