Yes, Microsoft tries to get you to use their proprietary mechanism by default. You need to click on the "use a different method" link when doing the setup to get a code that is compatible with e.g. Google Authenticator, FreeOTP, and all the other ones
The last time I tried to that for an external MS Teams instance, the option to use another method was gone. Could have been a compliance thing of the 'owner' of the instance, however, I actually tried multiple times to circumvent installing their app, but failed.