Problem setting up 2FA for the first time
I just had this same issue and tried many different things. In the end I resorted to contacting Apple who were extremely helpful. The thing to do is access another device which is logged in with the same iCloud account, and ensure that keychain is switched on. If it isn't, turn it on. From there just follow it through and if you have to reset your keychain data then do it. You'll then be able to get around the original 'Waiting for approval' issue on the initial device.