It's a challenge-response with nonces. There is also the browser's role to ensure that a given RP's requests are marked with the origin (domain) they came from,

It's a challenge-response with nonces. There is also the browser's role to ensure that a given RP's requests are marked with the origin (domain) they came from, so auth.example.com and auth.example.evil don't overlap. (U2F is mostly concerned about malicious sites, and less about malicious browsers and other nastyware)