I would suggest against having the security key to be your wallet.
Wallet should be a wallet, while security key should be a security key. Having them combined means more lines of code, more place to developers to fail.
YubiKey is great, soon there will be Mullvad security key too.
I see it works a bit differently now - you can't recover your FIDO2 login to a different device.
You CAN recover your FIDO2 login to the SAME device (eg after a wipe) but ONLY if you first backed up the "credentials"
Bear in mind that the credentials are bound to the seed with which they were created. You cannot transfer them to a device which is initialized with a different seed.