Because if you could do this it would make Apple devices much more attractive targets for thieves.
Adding a similar real interface (even if delivered by Find My and not texts) would just make phishing more successful. That’s why Apple Support/2FA prompts are verbose popups on every device you own at the same time.
I get it, people are conditioned to vendor lock in because of cell phones. In reality it's incredibly wasteful. I'm still not convinced the current way of doing things is best for the consumer.