My new phone doesn't know it's a phone =)

Hello, I cannot seem to add my phone number to the new phone I just got today. I set it up earlier and it went smoothly or so I thought. I sent a text earlier and was told they are being sent from my email address, I want them to be sent from my phone number. I checked Settings/Apps/Messages/Send and Receive, and it is all email addresses listed, no phone number to choose from.

I went into my Apple ID and then Sign In & Security and then Add Email or Phone Number. I added my number, I got the Verify Phone Number screen, in which a code is being texted to my phone number, but I am not getting it. I checked my regular Apple ID email, my icloud email, and Messages. Where do I look to find the verification code text? I can't proceed without it. I love a good mystery but can't seem to solve this one!

iphone 17 pro max