After making the change I got an email from Microsoft. This is standard security policy now.
Hi Eric Tummers,
To maintain the security and privacy of your profile and account information, we monitor certain types of actions. Our records indicate that on January 30, 2014 at 07:30:41 AM (UTC), your alternate authentication credentials were either set for the first time or changed.
If you did not make this change, please contact us immediately at TFServiceSupport@microsoft.com so we can investigate this further with you.
Team Foundation Service team
Microsoft respects your privacy. Please read our online Privacy Statement.