What do you call the added security feature that is recently applied to most online accounts that will ask you to check you email or SMS for a validation code?

It is called Multi-factor Authentication. It enhances the transaction security by providing extra layer of security to ensure the authenticity of the legitimate user.

2-Step Verification can help keep bad guys out, even if they have your password.

Two Step Authentication Process or Two Factor Authentication Process

In order to preserve the privacy of the account

Use 2 factor Auth or/and 2 steps 

2 Factor Autentication or Multi Factor Authentication

Multi Factor Authentication

Two Factor Authentication and/or Two Step Verification

2FA or 2 step verification