What is Truly Protected by a Security Key

I've seen a bunch of posts and videos on how to protect your Apple Account with a physical security key. I have protected my Apple account by registering two YubiKey 5 NFCs on it. I was asked for a security key when I logged into this forum and it worked. So far so good.

I am confused, though. Though I have facial recognition to unlock my iPhone, say I get shoulder-surfed or someone grabs my phone while it's unlocked. And I'm not near a computer or my iPad to fire up the FindMy app and lock the iPhone. As far as I can see, the YubiKey doesn't help me. Is that right?