This is similar to why enabling 2FA actually scared the heck out of me! I use a password manager to generate strong unique passwords, so I think the chances of someone getting in that way are incredibly low. But I can absolutely see myself loosing all of my 2FA keys some day in a freak accident.
Nowadays 2FA are always about something you know and somebody that vouches for you (SMS, email, whatever). Nobody seems to do any version of it that relies on you alone. So a password manager won't improve its reliability.
What secure location? My sock drawer? Or am I expected to go buy a safety deposit box? I'm really not that organized and I loose slips of paper all the time, it's a major reason I was drawn to computers growing up.
I keep mine in a file in a drawer. My threat model doesn't cover people breaking in and finding them as well as knowing my password managers master password.
I’m not concerned about the keys being compromised, I’m concerned about loosing them, since the idea is they’re unneeded for many years and then suddenly become essential.