I recently had a customer who works for Organisation A and was sent a verification code for access to an external SharePoint for Organisation B. However, this email did not appear in their Outlook desktop app.
I advised the customer to go to Outlook.com (Outlook Web App, aka OWA) and check their junk mail there. Lo and behold, the email was sitting in the junk/spam folder on the web app! However, it was not appearing in this folder on the desktop app.
So, if you have somebody with the same issue, ask them to check the OWA first.