Can I use a security key when connecting to Apple ID/iCloud from a Windows

Note this passage:

• To sign in to iCloud for Windows after you set up security keys, you need iCloud for Windows 15 or later.

Source: About Security Keys for Apple ID - Apple Support

Also DO be aware that if AppleID security keys ARE enabled …

… the ability to receive 2FA Verification Codes to Trusted Devices and Trusted Numbers is deactivated.

Yes you can require a security key to login to your Apple ID/iCloud account as described in About Security Keys for Apple ID - Apple Support

Note that they are not used to unlock your iPhone Lock Screen. You use a passcode or Face ID for that.

You’re welcome.

Security keys work well, but the user must thoroughly think-thru their disaster recovery plan.