Yeah fair question. IMO it def makes things less secure, but it's a question of how much less?

As in, if all my passwords are "sexG0d" then 2fa is critically important, but if all my passwords are long and complex and unique then 2fa is still another layer but it's much less critical.

If someone were to pinch a password through a phishing site or a key logger they would still need to unlock your .kbdx file. The way I see it, if an attacker has cracked your database, you already screwed up 20 steps ago. (Sharing your .kbdx, using a weak password for it, not changing your other passwords) I think that 2FA on a different device is too much of a hassle for how much extra security it can bring.

Late reply, but for me personally, I started doing it because my Keepass database is already accessed using two factors (password and key file). Therefore, I'd gain very little by keeping the second factor of those sites external - essentially, those second factors are compounded into the second factor for the database.