Hi apparatus,
It seems like that file does not exist there or anywhere else in my system.
However, I made more research on u2f.Authenticate and find that post here:
And added the missing lines found in Jarrah’s reply to /etc/qubes/policy.d/50-config-u2f.policy as follow and it worked:
u2f.Register * @anyvm sys-usb allow
u2f.Authenticate * @anyvm sys-usb allow
ctap.GetInfo * @anyvm sys-usb allow
ctap.ClientPin * @anyvm sys-usb allow
I guess I should re-open a new issue because this one has been closed: Qubes R4.2.0-rc2 Qubes OS Global Config tool not see qubes-u2f installed in sys-usb · Issue #8463 · QubesOS/qubes-issues · GitHub
Also, while I needed to add the ctap policies, the related interface throw an error message stating that thoses 2 lines are technically correct but too complicates and they are going to be removed after “saving” :-S
I really appreciate your help apparatus as I right now have a working CTAP Proxy 
Thanks!