In absolute terms, there is probably some small increase in risk due to the NFC interface. As a practical attack, it’s probably not worth worrying about. Directly from the paper you linked:

NB the term skimming for such an attack can be misleading if one thinks of well-known mag-stripe skimming of bank cards. When skimming mag-stripes, the attacker secretly reads the information on the mag-stripe, and can then make copies to create clones of the original bank card that cannot be distinguished from the original. For RFID tags, an attacker will not be able to create clones with a skimming attack, as long as the protocol uses some form of challenge-response.

Which, the YubiKey, at least, used a challenge-response. While there is a known vulnerability which can be used to extract the internal secret and therefore clone a YubiKey 5, it requires long term physical access and is not trivial.

The bigger concern for the NFC tag would be its use in a relay attack. And with a big enough antenna, an attacker might be able to do that. However, I would again point to the paper you linked to, their results were “long” for an RFID activation and read. But, not really all that long:

a gate with a width of 100 cm, which can communicate with a tag held near the center between the two antenna

And their setup required a couple large antennas that the victim would need to stand in between. Not impossible, but you’d notice with each side being half a meter away.

So yes, it’s a technical risk, but not one that I’d bother putting much effort into avoiding. And the being able to use the key via NFC is probably worth the risk.