Confirm if you are restricting FIDO2 keys to specific enrollments. If ‘Enforce Key Restrictions’ is YES you will need to add the Yubikey AAGUIDs #

Navigate to Authentication Methods > Policies > FIDO2 > Configure

You can verify your keys information by navigating here: https://www.yubico.com/genuine/ and looking up the GUID via their support table: https://support.yubico.com/hc/en-us/articles/360016648959-YubiKey-hardware-FIDO2-AAGUIDs

Go to https://aka.ms/mfasetup > Add sign-in method

Add security key

Select USB Device

Follow the enrollment wizard

Add your security pin

Press the key

Name the key