You may run into the app when updating your Microsoft account settings or enabling two-factor authentication there. Alternatively, you may want to have a TFA available for your own security purposes.

Note that you can use this option with Microsoft Authenticator as well. Choose the option to set up a different app and then add the account to Microsoft Authenticator using the supplied barcode.

You can now link your devices and apps with your Microsoft account using the link code without requiring you to enter your account details manually. This guide will teach you how to use this ...