Which exchanges support U2F authentication?
As you have correctly noticed none of the Bitcoin exchanges have implemented the FIDO standards there is not a large demand for this feature from what I gather.  If the standard were to gain mass adoption and many users began requesting it I'm sure it would become a greater priority for exchanges to implement.  

As a side note the Ledger hardware wallet does support the U2F standard and would be a great way to improve the security of your wallet (as long as you don't connect the two to each other (i.e. same keychain)).