How to use U2F key for Windows 10 login?

No, Windows does not support U2F for system login. As far as I can gather from the marketingese in that blog post, the FIDO support is about Windows itself acting as a credential – and most likely as UAF (as the primary factor), not U2F.

Windows 10 does support certain FIDO2 devices, however while there are many keys that are FIDO2 certified by the FIDO Alliance, Microsoft requires some optional extensions of the FIDO2 Client-to-Authenticator Protocol (CTAP) specification to be implemented by the vendor: Resident key, Client pin, hmac-secret, Multiple accounts per RP.1

Also, as I understand it, the key is to be used as a true second factor, ie, you still have to enter a password, PIN or fingerprint, you cannot just use the key alone.

The setting can be found under Sign-in options.