I agree it's annoying. They're working on it, but they should have really enabled it sooner. There's no technical reason, iPhone has the necessary NFC hardware. https://www.wired.com/story/yubikey-lightning-ios-authentica...
For the time being, passphrases + TOTP 2F are sufficient, but I will look forward to being able to use a security key instead.
Yes, IIRC it's impossible (or nearly so) to phish U2F.