Generally U2F widgets don't run code or have any extra functionality unless they specifically mention it.
The OP key looks pretty barebones I wouldn't expect it to generate/store/use ssh or pgp private keys. That's more like a yubi key 4 or similar more expensive widgets that are basically smartcards and/or HSMs.
There is a U2F pam module that can allow you to use a U2F widget for screen unlock, login, sudo and the like. If you are worried about the U2F dying/being stolen/lost then you could always authorize more than one U2F widget and keep one in a safe place.
The OP key looks pretty barebones I wouldn't expect it to generate/store/use ssh or pgp private keys. That's more like a yubi key 4 or similar more expensive widgets that are basically smartcards and/or HSMs.
There is a U2F pam module that can allow you to use a U2F widget for screen unlock, login, sudo and the like. If you are worried about the U2F dying/being stolen/lost then you could always authorize more than one U2F widget and keep one in a safe place.