Could use a comparison to e.g. a yubikey [0]. At this price, I can afford to just order one and see what happens, but still it would be nice to know what features I'm sacrificing for the cheaper price.
You're sacrificing everything the Yubikey does beyond U2F. Yubikey can support U2F, but also generates one time passwords, and appears as a smart card to your operating system allowing you to keep PGP/SSH keys on it.
[0] https://www.yubico.com/products/yubikey-hardware/yubikey4/