Just yesterday, Phone Sign-In for Microsoft Accounts became available on the Microsoft Authenticator app on iOS and Android. As has been the theme these days, Windows Phone was noticeably left out of support for this feature, and Microsoft has since followed up to announce that the company will "evaluate" bringing Phone Sign-In feature to Windows Phones.
The follow-up announcement was made at the bottom of the initial blog post about the availability of Phone Sign-In for Microsoft Accounts on iOS and Android. The company explains.
[Update 4/18/17 3:08pm Pacific: A few people have asked if this works with Windows Phone version Microsoft Authenticator. Windows Phone makes up <5% of the active users of our Authenticator Apps so we have prioritized getting this working with iOS and Android for now. If/When it becomes a big success on those high scale platforms, we will evaluate adding support for Windows Phone.]
From the way things are phrased, it would appear that the Microsoft choose not to initially roll out the feature to Windows Phone due to the smaller user base of the platform. It is, however, encouraging to hear that Microsoft has listened to "a few people" and possibly has plans to add support on Windows Phone if the feature also becomes a big success on "high scale platforms."