Paul P. this is only required the first time you log in to verify your email address, we require this as anyone can create an Entra ID tenant and set their email manually without verification.
Now, when a user logs in, they have to add a third factor (a code sent to their email address) instead of the two they used before (because Microsoft SSO/Entra usually already entails a second factor by confirming a code within the Entra ID popup & the Microsoft Authenticator Smartphone App).