The field echos the field, the first on is echoing the field and the second is echoing nothing because it’s missing the ‘option’ argument.
I’m guessing that with you’re probably seeing is
+1 2345 6789
<li></li>
try
<?php if( get_field('phone', 'option') ): ?>
<li><?php the_field( 'phone', 'option' ); ?></li>
<?php endif; ?>
