At least with an SMS 2FA, you can get the SIM card out and put it in another device. If you happen lose the SIM card, your phone operator will probably get you another with the same number once you identify yourself. With authenticator apps or yubikeys, if you lose them (or get a bootloop, or wipe your phone forgetting to back up everything first), there's no path of recovery at all.

Not if it's a prepaid eSIM