After a bit of digging, I found an article to shine some light.
It is fine to use WebAuthn without storing a credential on the key if you are using it for 2FA and so BitWarden register your key with the requireResidentKey property set to false. This means BW do not store a credential on your key but it is still WebAuthn.
If you want 1FA (just the key with no username) which BW do not support yet then requireResidentKey property will need to be set to true and then a credential WILL be stored on your yubikey. This must be what Microsoft are doing.
Source