Hi Jeanne,
I don't know. Maybe your carrier doesn't provide the SMS support Apple wants (they have a list of supported carriers on the first link I gave you). Or, maybe the initial setup has been changed to force "Find My Phone" setup (which you could turn back off once setup, based on my experience). Regarding the Recover Key, it's on the first level "Password & Security" page (before I drilled down to the "Add or Remove Trusted Devices" page in my previous screenshot):
I would image if you don't have 2 Step turned on the option may not be there. It would seem kind of pointless to provide a Recovery Key to a system you are not using.