I remind you that Lemmy.world has recently implemented the ability to enable two-factor authentication.
To enable it, go to your profile settings and find the 2FA button at the bottom. Once you click on "Save" the page will reload and you will have a new "2FA installation link" button that will allow you to save the authentication seed.
Remember to always save the seeds and/or QR codes of accounts with two-factor authentication. Many password managers like Biwarden or KeePassXC allow you to save 2FA codes. However, this would mean that together with the credentials such as email and password there will also be 2FA creating a single breaking point which in some cases is not convenient.
An alternative is to use 2FA applications such as Aegis, FreeOTP, and others (I would avoid Authy because it requires a phone number) or use keys such as Yubikey and the like.
Apparently with some authenticators the link provided by Lemmy will not be "formatted" according to the "rules" of the application that is used to store the 2FA codes (I'm just guessing and I'm not sure), but you can copy the button link "2FA installation link" finding something like:
otpauth://totp/Lemmy.world:[your name account]?secret=[your secret seed for 2FA]&algorithm=SHA256 etc
On Aegis I simply manually added a new element, copy [your secret seed for 2FA] and specify the SHA256 algorithm, all other parameters I left default.
But before logging out of your account, try for example on another browser or on a different device if everything works correctly, in my case it didn't give me any problems, I hope that in the future Lemmy will make this easier.