After installing openssh 8.2 via brew, how do I add keys to keychain?
Keychain integration is a feature added by Apple that is not in the standard release of OpenSSH. As you have now installed the standard OpenSSH release from HomeBrew, you won't have this functionality anymore. You have discovered this as the UseKeychain option now gives configuration errors - adding the IgnoreUnknown configuration only makes the error message go away, it won't actually bring back any functionality.
In order to get Keychain integration, you will want to uninstall the HomeBrew version of OpenSSH and use the version supplied by Apple.
The version in HomeBrew will not for the foreseeable future have Keychain integration - it's not that they can't make it work at all, but rather that they have found the implementation that was made to be too big a risk for the project, as it's a big change that doesn't come from the OpenSSH project itself. You can read about that discussion here.
If you look at the link, you'll see that you can still download the old patch, and try that out if you like. However, as it is no longer maintained, it is a security risk.
Similarly you can download a third party mod to add Keychain support here. However that hasn't been updated since 2017 it seems, and as such would also be a security risk.