The dreaded Two-Factor Authentication

Hi Klaus1- I understand you're having difficulty setting up 2FA and the verification isn't appearing

You can find out information on how 2FA works here Two-factor authentication for Apple ID – Apple Support

There should be an option for "Did not receive code" have you tried setting that up?

Normally you should get a notification on your device which says someone is trying to log in to your Apple ID with their location, you click Okay to generate a code which is 6 digits and you can type it in, especially on a new-device or IP address.

Are you getting any pop-up at all ?

Do you have more than one Apple ID and are you trying to log into a different one?

Hi, can you try to sign out of iCloud from one of your trusted devices and sign back in? It could be that iCloud needs a bit of elbow grease from time to time. If that doesn’t help, The Apple TV should give you an option to text the code to your cell phone number.

It is usually the six digit code that they generate on their end. There should be a link asking if you did not get a code. It looks something like this.

Hey bud, I just wanted to check in on you. Typically after hitting that link, you should be able to have them send an SMS text message to your cell phone. Kind of looks like this: