What u2f app is this referring to? I've never needed anything more than chrome to use u2f on windows or ubuntu. Also seems weird to complain about setting up an app, when a few sentences before that they recommend installing a password manager...
Should I not have?
The "problem" is the expensive Yubikeys that you were whining about has lots of extra functionality that has nothing to do with U2F, and that's what the extra applications are all about.
I happen to use a Yubikey because I want that extra functionality, including using it to secure the keys I use for ssh and for digitally signing git tags so I can securely push git pull requests. But that's because I'm a developer, and it's why I'm happy to purchase multiple Yubikeys (one for my desktop, one for laptop, backups including one that is on a keychain, etc.) Perhaps you were reading web sites that was giving advice for developers as opposed to for consumers?
Whereas if you have RSA keys on the "full fat" Yubikey, they can be used regardless.