Of course I want to know how and where the keys are stored :D so I can do the same thing myself! Arguably security systems in this class demonstrate their integrity *because* their architecture is fully open, documented and straightforwardly reproducible. It isn't science if it isn't reproducible, right? Something something computer science...
That's the idealistic view, of course. In the <insert cartoon punching fight cloud here> real world, we have The Legacy PC Problem™, where secure boot isn't, TPMs can be bus sniffed, SGX doesn't really support the hacker/tinkerer exploration necessary to power defense in depth, ME is a ginormous black box that eats authentication headers like they might as well be glue... and it doesn't matter that I am a dog residing on Mars because the MDM my 2FA device is signed into has decided I'm legit.
Hence my interest in real security. It's a giant debacle, surely there are some genuinely cool wins to be had out there that truly make a dent ._.
In reality, what we can expose, is that during the early boot process, our systems reach out to another system that register's its interest, and as a user (from another trusted device, phone, laptop, etc.) you can visit the web service and click a button.
How and where keys are stored is a great big "?" that's up to the implementer to solve..