But modern OpenSSH can do FIDO, the same technology that drives U2F and its replacement WebAuthn, and is in all those cheaper and more popular products. FIDO won't sign arbitrary data with keys, it will only perform a very specific operations and so OpenSSH grew a whole separate set of public key authentication types to support that approach, and GitHub is announcing their support for these extra types.
There are some neat features beyond "this makes cheaper devices work" but GitHub mostly does not use them, although they do choose to require that your Security Key verify you are present (typically by touching a sensor or clicking a physical button) whereas your existing Yubikey setup might not be doing that and GitHub can't force you to.
These new key types make it a lot easier to get up and running with storing your SSH key on your Yubikey. I would have used this format instead of GPG when I was setting up a Yubikey a month ago, but GitHub (and some other providers I use) didn’t support a new enough OpenSSH version.
With the -sk keys, you no longer need to install any software (gnupg, pinentry, yubikey CLI etc.), or run gpg-agent which has always had reliability issues etc. It should all Just Work out of the box now. GitHub was the last piece of the puzzle for us, and for example I can now change our team's onboarding docs from "follow this long OS specific guide to setup SSH w/ gnupg and ykman" to "run ssh-keygen -t ed25519-sk".
There's some confusion in this thread, but you can use ssh-keygen to generate either a public and private key pair, with the private file being a stub and the validation still happening on your physical YubiKey, OR you can omit the private key stub entirely with "-O resident" option to ssh-keygen allowing you to add your key to your ssh agent on any machine you plug it in (for good and bad).