Memcached use is completely optional. By default, the Yubico U2F Validation Server does not use Memcached, and you do not need to install or configure it.
The u2fval server deals with a lot of short-lived data. Each U2F registration or authentication requires some state about the request to be stored for a short period of time, until the client responds to complete the request. By default, this is stored in the database. By enabling u2fval to use a Memcached server, this data is instead stored in memory, which is more performant.
Refer to the Memcached documentation for instructions on setting up Memcached on your platform. On Ubuntu this is installed using:
apt-get install memcached
You will also need to have the Python bindings for memcached installed, which can be done by installing u2fval with memcache support:
pip install u2fval[memcache]
To configure the Yubico U2F Validation Server to use Memcached, edit the /etc/yubico/u2fval/u2fval.conf file and change the USE_MEMCACHED variable to be True instead of the default of False. If the Memcached server is running on a non-standard port, or on a different machine, you will have to modify the MEMCACHED_SERVERS setting.
Once configured you will need to restart the u2fval server for the changes to take effect.