I just received an I requested apple code on my iPhone. Should I be concerned?

A verification code when you did not ask for one?

I suggest you check this link just to be sure

If you think your Apple ID has been compromised - Apple Support

Someone may be trying to sign your Apple ID, which would generate the request for a verification code. Since you have 2 Factor Authentication enabled, as long as they can't access one of your trusted devices, they can't get a code, and sign in. You should be okay.