To agree with the "give it a try," I have no experience with Microsoft's, but also switched Google Authenticator to Proton for things I used Google for. Those things do not "support" Proton, but it absolutely works. Duo, however, which my university uses, seems to have its own thing going on, and switching to Proton didn't work, but Duo can be set up to send a notification by SMS text in lieu of push notification through app (if that's tolerable to a user). Not sure how these compare with Microsoft, but if it's like Google and Proton, it should be easy to hand it to a different app. If it's like Duo, then your options might be limited.