If you're only using it for two-factor authentication, you don't need a PIN. But when I tried to registered mine as a passkey (passwordless authentication), my browser prompted me for a PIN. I didn't have one set at the time, so it kept rejecting whatever PIN I gave it. I had to use the YubiKey Manager to set a PIN before I could register it as a a passkey.
I use YubiCo Authenticator for TOTP via my YubiKey, and have a PIN setup due to that. Quite nice really, I imagine it's the same PIN you're talking about? I've not used it as a passkey yet
Yubico sells Yubikeys where are smartcard devices loaded with several apps (keyboard emulation OTP, GPG, PIV card, and FIDO 2).
They also sell cheaper security keys, which are purpose-built for FIDO 2 only.
When someone says they are using a passkey with a Yubico device, they are talking specifically about the FIDO 2 functionality. This does not (at least currently) support import or export - partially because they want these devices to be sold in regulatory environments where hardware-bound and non-cloneable credentials are required.
https://www.yubico.com/support/download/yubikey-manager/