I have been using Outlook for probably 2 decades, never asked for a phone number. I use the stand alone (non cloud based) product, maybe there are other requirements for the cloud based version.
However, as noted above look very carefully at the address this was sent from Microsoft, if you are not sure here is a link to report spam:
How to report a phishing or spam email to Microsoft - TechRepublic.
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Pennsylvania, for 60+ years, most recently, Allentown, now TV.