Thanks @Marilee Turscak-MSFT but you totally missed the point.
I do not need how to set up FIDO2 key authentication. The condition there has to be at least 2 AAD accounts in the security-key.
Anyways, I figured it out. You can not do this authentication properly because windows-login shell is NOT ready with account-picker. If you have multiple creds in the key for the same tenant then the Windows login screen will only use the last enrolled credential. I do not know what Microsoft's personal interest is being served by not providing account-picker on login-screen.
Thanks.