We have the Phone Number field in the checkout screen from commerce. When the user enters a Phone Number in the field, the same is not visible from the D365 HQ Sales Order details either in Line / Header fields.

As per MS Support, The phone number will also not flow from the shipping address to the sales order when manually creating a sales order in Dynamics 365. The phone number that flows to the sales order is on the Customer Contact section

Please consider this for enhancement