I am answering my own question for the benefit of others who may read this.
The YubiKey FIDO U2F cannot generate one-time passwords so it is not suited for applications that require OTP as a second factor. They are not recognized by the Yubico Personalization Tool used to generate the seed file to register the keys in Okta.
The keys can only be used with browsers that support them (currently Chrome and Firefox with a plugin). The target application or service must also support them. A list of those services can be found here.
Okta currently has early release support for FIDO U2F keys, so they will be supported for browser-based applications in the future.