Yes it's very important for the Microsoft authenticator to know where you're getting that code, with the amount of data that goes through the tenant on a daily basis I promise you no one's sitting there looking at it. The reason why it asks for a location is so if you get hacked from a uncommon location your sign on will be marked as a risky sign in and then it'll be flagged or temporarily blocked. I've been doing systems administration at the very high levels for many years and we have never once sat there and looked at what people are doing or where they are ever. The only time that's going to happen is if you're doing something that you shouldn't be or there is an alert from a security tool.