As far as I can see the yubico guide configures a feature Nitrokey supports as well, but has no dedicated GUI workflow for (yet; not sure what the mentioned recovery code is - maybe the programmed secret). Using another method, e.g. passkeys, should definitely offer you most flexibility, also because MS will provide the workflows to manage compatible (/certified?) tokens.
But my experience is limited is that respect and I reply foremost to point you to the available documented options. The tokens have a number of features that can serve for authentication: Guides - Nitrokey Documentation
For the doc it’s easiest to enter a search term on the left, you won’t find all guides via the hierarchical tree for a device.