You can't rely on the end users to check the domain name, because

* Most users have no idea what a domain name is.

* It is tedious to compare the domain name character by character.

* Phishing sites have used many UI tricks historically to make their domain name look authentic (e.g lookalike Unicode characters).

If a user manually enters a code from TOTP device/calculator into a website, that TOTP device/calculator has no way to know which exact website domain it is - if the user visiting notmybank.com thinks they are visiting mybank.com, they'll get the right code for mybank.com from their device and get pwned.

The key part of FIDO protocol is that it prevents the user from getting the code intended from one domain and sending it to a different domain.

That's pretty much what happened here. Obviously it's going to look a bit different afterwards because you have to mathematically tangle the time, key, and domain together. You can't really do that with the six digits of a traditional OTP code.

And like the other reply stated, if you can't mathematically tie them together, you have to rely on the user validating the domain (which you can't).