Earlier quoted context omitted.
Yubikeys (and more generally CTAP) do not really help with locking down local password managers. The KeePassXC FAQ even explicitly explains that.
From the KeePassXC FAQ: "Additionally, you can use a key file filled with an arbitrary number of random bytes or a YubiKey to further enhance your master key" https://keepassxc.org/docs/#faq-keepassx
> So in a sense, it makes your password stronger, but technically it doesn't qualify as a separate second factor, since this is not an authentication scheme and also because the expected response doesn't change every time you try to decrypt your database.
I'd argue that the biggest threat against a (non-cloud-synced) password manager is a local database compromise, and the Yubikey does not meaningfully help here.
To be fair, I don't think anything can help in this threat model – a password manager is ultimately a key/value storage for bearer tokens, and if an attacker can exfiltrate those key/value pairs, it's game over.
So the Yubikey certainly helps against an otherwise too short/reused password manager unlock password, or against somebody shoulder-surfing your password and able to steal your database, but not otherwise tamper with the device you're decrypting it on.
But other than that – if somebody can steal your local database and sniff your password (e.g. via a key logger), they can probably also sniff your Yubikey challenge/response, which is returned via the USB HID protocol as well.