This is unfortunate. They presumably do it because people routinely lose 2FA keys, but rarely lose their phone number, and so requiring an SMS backup first cuts down support requests.
What it means in practice is that when we train people to set up 2FA, we have to teach them a somewhat elaborate dance of enrolling their phone number, adding the U2F and TOTP authenticators, removing their phone number, and then making sure they don't have a recovery phone number set.
What it means in practice is that when we train people to set up 2FA, we have to teach them a somewhat elaborate dance of enrolling their phone number, adding the U2F and TOTP authenticators, removing their phone number, and then making sure they don't have a recovery phone number set.