Even with this problem, using the keys for U2F is safer than SMS two factor auth. Possibly also safer than authentication app on phone, which could be compromised in various ways.
To be clear, "this problem" requires the attacker to have sophisticated equipment with physical access to your key for a significant amount of time. So yes still by far the most secure way, right below a non-clonable key.
attributing who got what would be a challenge though.