Anyway, yes, I'm also comfortable with the default, I'm just pointing out why "don't SSH places you're not supposed to" isn't a relevant argument.
When you enroll your authenticator creates random credentials (made easier by using Elliptic Curve crypto so almost any random bits are a valid key unlike RSA) and then (unless you're using a much more expensive/ sophisticated device or a FIDO2 device in its resident credentials mode) it encrypts its own private key and delivers that as the cookie value. The remote server actually has your private key... but encrypted with a symmetric key that only exists inside your FIDO authenticator so it's actually safe.
OpenBSD's approach to using FIDO for SSH keeps this cookie element locally, not on the remote server. So the actual keys used will be constant across multiple servers and thus could be correlated to track you.
The other effect is that (again because that cookie is on your local client not the remote server like for WebAuthn) you can't use a cheap (non-resident enabled) FIDO authenticator from anywhere except the machine you used to enroll it. The authenticator plus a random (new enough) SSH client don't have enough information between them to get you in, they also need that cookie which is on, say, the laptop you left in a hotel room.
If that use case is essential for you, you can apparently use resident credentials. I haven't tried it, but a newer Yubico Security Key (with the numeral 2 printed on it to signify that it implements FIDO2) should be able to store everything, authenticated with a PIN, so then you can use a new enough SSH client plus that Security Key plus your PIN to log in from anywhere.
Alternatively if you have a cheaper FIDO device or choose not to use the resident mode of a newer one, this does have the effect that you can create different cookies from different laptops and then you can approve the resulting different keys for different purposes if that suits you. It could make sense to approve your company laptop's keys for checkin to corporate Git repos while the personal laptop has your GitHub keys while keeping just one FIDO key on your keychain throughout the day...
Edited to add: Residential credentials for SSH is apparently planned for OpenSSH 8.3, not OpenSSH 8.2 and so not available yet.
Most people don't care about this and so I'm comfortable with the default not being IdentitiesOnly
It's probably more surprising for any early adopters of FIDO for SSH, since WebAuthn (to do FIDO on the web) and its predecessor U2F both do ensure your identity can't be correlated between sites, but the new SSH support does not provide that.