It’s generally safer to use a shorter PIN here, because you need physical access to the key already to enter the PIN, but if you’re worried about key theft then a you should account for all the usual requirements for a regular password (>= 16 characters, generally).
In light of the specific threat model under consideration, I generally advise utilizing an 8-digit alphanumeric PIN for the FIDO2 function. Furthermore, for the OATH-TOTP function, if employed, a conventional 16-digit (or longer) password or passphrase is recommended. This password/passphrase should be easy to memorize.
Should you not be affected by any particular threat, the length of your PIN may be reduced. However, if you are exposed to a high risk of physical threats, such as theft, it is prudent to consider using a conventional password or passphrase for the FIDO2 function as well, as @jonah suggested.
From threat model perspective I see three cases. A random person finding the key, a curious burglar and a targeted attack.
My reasoning is that there are 8 attempts and the adversary does not know how many attempts deep one is. Another one is that this mechanism is intended to facilitate and simplify logins. If the pin is as long and complex as a password while being more secure but more cumbersome to use it definitely does not invite it’s usage.
Does anyone know the rationale behind FIPS or Windows Hello password requirements?