Not receiving auth message on my iPhone

I recently got a new M1 MacBook Pro from my work. I was able to log in to the Apple Store and download some of my applications with my iCloud account. It is running the latest version of Monterey. When I open System Preferences the Apple ID logo has a little red bubble with a "1". If I click on it It takes me to the Apple ID section There is a "Update Apple ID Settings "Some account services will not be available until you sign in again", and a Continue button. When I click Continue I get a popup "Update Apple ID Settings". when I clicck "Continue", it asks for my password (to set up icloud). I enter the password and click "OK". It asks for my Mac password and I enter it. Then it shows the popup with th 6 empty boxes and says it is contacting my iPhone. But I never get the message on my iPhone. Any ideas?