Sure, but most people aren't targeted by advanced adversaries, so using your password manager for TOTP can be a lightweight way to make most hackers completely disinterested in attacking your account. U2F requires an additional investment. Depending on the type of physical security you want, it's normally a good idea to invest in at least n+1 U2F keys, so you have a spare key you can keep with you and permanent keys in all of your devices. (Obviously, the latter means that your U2F can be stolen easier, but the reality is that this is not nearly as big of a deal as stealing a password, since you can unprovision a U2F key immediately upon realizing that it's gone.)
Proxying the authentication isn't really an "advanced" attack. In a 19 minute video[0] the author of CredSniper[1] gives a complete walk-through for setting up his proof of concept tool, including building the login pages and registering for LetsEncrypt SSL certs. The hardest part still remains choosing the domain name and getting people to click the link, and still people find ways to overcome those hurdles.
As TOTP use has increased, the basic phishing toolkit has evolved to match. Attackers want accounts, not passwords, so they're just adjusting to get working sessions. The passwords were only ever just a means to an end.
