In Locker, there is no option to set up 2FA with a FIDO2 security key. Instead, security keys are used as a login method (passkeys), in which you can use a FIDO2 key to replace both password and MFA method.
As soon as you set up a security key as a passkey, you are able to log in to your Locker account easily within a single step.
Why a security key can replace a password and MFA method
The combination of a password and MFA method (email authentication, or TOTP via the authenticator app) adds extra protection layers to your account. This is a mix between something you know (your password) and something you have (OTP from email or authenticator app).
Meanwhile, a single security key fulfills the security standards of two-factor authentication as well. The combination is between: something you have (your security key), something you know (the security key PIN) and something you are (your fingerprint stored in the key).
That is why a security key can be used as the one-step method to log in to your account in replace of a password and MFA method.