(Disclosure: I once took a hardware product through the FIPS process)
https://en.wikipedia.org/wiki/FIPS_140-2#Security_levels
It's a subsection of the larger FIPS 140.
Tamper resistant/Tamper evident (and not being able to simply pop the hsm in your pocket while walking by) are important considerations around physical security.
These look great for home or SMB use, but wouldn't work in PCI-DSS or Classified environments.
https://www.yubico.com/support/knowledge-base/categories/art...
Presumably, the original YubiHSM sold well enough to justify the R&D to make the YubiHSM 2, even one that's not FIPS 140-2!
I've worked on several FIPS projects, and there's not a big demand for FIPS 140-2 unless the customer is handling government contracts and/or data. It's a good checkmark to have though.