Two-factor authentication, iCloud for Windows

I have iCloud for windows on my laptop, have allowed iCloud Keychain and use the iCloud Passwords extension on Microsoft Edge browser. When I activate Keychain to obtain a password, the 2-factor dialogue box appears to enter the 6-digit code, however the code to enter also appears on my screen in the lower right corner. Doesn't this defeat the purpose of having 2-factor authentication? If the code to enter appears on the same device where the code is to be entered? Shouldn't the code appear on my phone or other iCloud enabled device?

See image. (The 6-digit code appears where the black box is and was not allowed to be captured by snipping tool)

When I log into icloud.com the 2-factor authentication code comes to my phone (as it should).

Have I set it up incorrectly or is this a flaw? The same issue happened when I used to use the Chrome extension.