Thanks for the info.
I get 'Two-Factor Authentication not available for your Apple ID at this time'
I live in the UK am on ios 9 and have been with apple for about 8 years.
Will try if it works on El Cap later.
Maybe country specific.
If it doesn't work I'll try the 'two step' (sound like a dance!)
I got that message via iPhone....it works then setup via iCloud.com macbook