The instructions for "Add another authentication option for multi-factor authentication" are outdated.
Step 2 "Click your account name and click Manage Login Settings" should now say "Click your account name and click Change password".
https://docs.sophos.com/central/customer/help/en-us/ManageYourProducts/GlobalSettings/MultiFactorAuthentication/index.html#add-another-authentication-option-for-multi-factor-authentication
