That is a recommended thing to do, your funds should not be stored in a centralized exchange or custodial service, but in your self custodial wallet, so you should move it there when you get the opportunity.

As for the issue with 2fa, i don't fully understand you, if you have already set up 2fa and linked your authenticator with your exchange, then you simply have to get the six digit code from your authenticator and input it when you want to log in to Kraken.