The two factor authentication feature still seems to be a fairly new one in Discourse, at least as far as I understood from the discussion about it. And something tells me that they forgot that people logging in through a login provider don’t necessarily have a local password which is currently needed for settings up 2FA. Or maybe they just forgot disabling to allow to set it up.
Would be interesting if it works if you request a password reset through your account settings, and once you have setup a password try to configure 2FA. I could imagine that it will work but still allow you to login through Patreon. Just a shot in the dark though.