I guess this means that any attacker will need to compromise your keepass database rather than just one of your other passwords, but it would help avoid a potential "hosed" scenario.
Maybe you think you're more likely to lose your phone then leak your master password? Perfectly reasonable I suppose :)
My master password has hundreds of bits of entropy and only leaves my brain to enter it.
Most likely bad scenario is master password gets lifted from a keylogger and the database is stolen. I don't see what keeping the secrets in an app does to help that though.
Reinstalling the app didn't seem to revive the tokens, last time I tried.
If it could be on multiple devices then I could set up an old phone and have it as a backup.
Edit: I’m wrong. You can sync two Authenticator apps using the same QR code during setup.
Authy seems to sync between the 2 devices I have with it installed (which indicates that it's stored "in the cloud").
I always have second device mirroring the important stuff on my primary device. Usually my most recently replaced phone.
EDIT: Exactly as petepete said. Multiple FIDO tokens like Yubikeys are supported.
My BitWarden account is secured by Yubikey, of which I have two.
Knowing my passwords and 2FA are protected and backed up is a huge relief.