If you are guest with a different Tenant, the MFA Settings are now reflecting the settings of all tenants in a different way.
Each MFA setting is reflected and you can setup your MFA device as per tenant and the admin settings allow.
Login to your Profile in Office 365/ Azure AD:
Go to your PROFILE:
Sign in to https://myapps.microsoft.com
Select your account name in the top right, then select profile.
Select Additional security verification.
If might be happen, your admin hast configured MFA, so you wouldn't see this menu.
Simply switch the tenant to the guest tenant where you need to configure MFA.
Once you go back to your profile and you will find the MFA device and other settings a usual: