Cannot set up two-factor authentication

I updated my Mac to MacOS Sierra, I have also my iPhone 6 Plus update (iOS 10) and my Apple Watch.

I'm trying to set up my Apple Watch to unlock the Mac. I already removed the two-step authentication to put the two-factor authentication on the Mac but when I go to System Preferences -> iCloud -> Security (or Devices) on the Mac my secret answers appear greyed out and I can't type any word.

Also, on my iPhone the option two-factor authentication doesn't appear on the screen: Settings > iCloud > tap your Apple ID > Tap Password & Security.

Thanks!