Desktop 2FA Authenticator Apps

Most people/orgs use 2FA authenticators on their phones, but I heard that some people/orgs use the one on their desktop password manager or just download a 2FA desktop app version of their. Wouldn't this leave their accounts less secure if they got infected with malware? or would the type of malware that would effect this be one that steals session cookies, resulting it not even mattering if someone had 2FA or a good password? Wondering if I'm thinking of this …

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