Nitrokey FIDO2 should work out of the box in Windows environment.
Nitrokey App (v1.4 and older) does not recognize this device yet. It is scheduled to add Nitrokey FIDO2 support in the next versions. In the meantime you can use Windows 10 or Chrome tools for setting/changing the PIN, or issuing a factory reset - native support is included there, hence another application to manage FIDO2 seems redundant. This is why we have not decided to work on this earlier.
We do not have any updates for Nitrokey FIDO2 firmware yet. Once there will be one we will notify users through email. All released devices have v1.1 firmware.
I will make sure this will be mentioned on the start page. Sorry for the confusion.