I see you have 3 users in your sandbox account, none of the users has a direct phone number, the number above is your sandbox main company number and it is not currently assign to any user. I set the company number to the extension "Dev Admin" (103). The number shows that it's SMS enabled. Can you authenticate your app with the user 103 and try again.

You can also login your sandbox admin portal and reassign the main company number to other users (General Settings under the Auto-receptionist setting page). You can also add direct numbers (up to 4 numbers including the main company number) to your users and test with different user.