If your U2F token was lost or damaged it would thus permenantly render your accounts inaccessible (depending on whether or not account recovery bypasses U2F), and the best practice to avoid that was to have two tokens initialised with the same key material and to keep one in a safe place at home / bank safe-deposit box / other secure location. Then, if you needed to regain control you still had a valid U2F token.
As U2F gains traction more sites are implementing it properly with multi token support, which renders this method obsolete, but that's the historical reasoning.
Yes, those sites should implement U2F support better, but the question was about why U2F is more secure than GPG, and ~“because it’s harder to mishandle the private key during setup” is pretty solidly an accurate answer.
By contrast, GPG is full of footguns. To pick an arbitrary example: many guides walk you through generating the GPG key on your regular computer and then importing it to the the Yubikey, and at best there’s a note suggesting you remove the key afterwards. At worst, there’s not.