Frank,
This is a new requirement in the latest release of the App Platform. I have tried SMS but it is problematic - my suggestion is to install Google Authenticator on your phone, then choose the Google Authenticator option for your Mendix App. After you do that you'll see a QR Code you can scan with your phone on the screen - then you'll get an authentication code from Google Authenticator that you can use to make changes to your Mendix node.
Mike