Just to let you know that my problem is solved.
Before showing the screen with the choice of Authentification apps, Evernote asks to enter a phone number in order to send a code. This made me think that 2 FA by message was the only option available. In fact, we have to enter the phone number in order to receive a code and only after that, we can see the choice of 2FA authentification apps. To me, it is confusing as no explanation is provided when the prompt to enter the phone number is popping up.
Thank you again for your help.