- If you have an existing AppleID *without* a phone number, DO NOT associate a phone number to it as you won't be able to de-associate it later (without adding another phone number). See: Criticism: Inability to remove a phone number
Fearmongering Security UI
You literally have to choose the scarier option "Don't Upgrade" if you want to avoid / postpone / never setup SMS as your second factor.
See related: SMS#Apple_ID
Requires a phone number to create
As of 2022 (perhaps earlier), creating a new AppleID requires a phone number that can receive a text message or a phone call.
Inability to remove a phone number
As of 2022 (perhaps earlier), once you add a phone number to an AppleID (which Apple prompts you to do every time you upgrade your iOS or MacOS, see previous screenshots), you cannot remove it if it is the only number connected to the AppleID.