After rethinking... I also tend to agree. Actually I never use password login, maybe it felt safer without brute-force logging of ssh logins and I also think that a rate limit would not hurt, especially when there is a SSH security issue like here ;)
Answering my own question (it was a longer time ago I used CoreOS) here two interesting links:
Securing CoreOS with iptables rules (Firewall like):
https://www.jimmycuadra.com/posts/securing-coreos-with-iptab...
IP tables rule to reduce ssh attack spam:
http://serverfault.com/a/217066
Maybe this advices should be integrated into CoreOS official docs? Something like "How to harden CoreOS servers". When I first looked into CoreOS I wanted to use familiar tools like fail2ban or ufw to run there (which is not possible, at least not easy). I'm no iptables expert (who is? I think it's not a trivial to use program) and this lack of admin tools made me think it's not good to secure. It's for sure more complicated than in Ubuntu (from an admin perspective).