You're having this problem because of your phone number. Try changing your number and see if it works. If you don't have a different phone number you can go to anonymsms.com and use one of their numbers for free. I used it for 2FA before and it always worked for me.
I had the same issue with not getting the SMS for logging in. I checked my spam folder and still found nothing. In the end, I reached out to Larian Studios' support team, and they helped me fix it pretty quickly.