It seems most of the newer cameras (Z6 iii, Z5 ii, Z50 ii) and the Z9 support „Wi-Fi STA“ mode, as Nikon calls it. All other models apparently only do „AP“ mode, where the camera turns into an access point - super annoying.
Curiously the Z8 (which is basically a Z9) and the Zf (which is basically a Z6 iii) don’t support STA.
AP mode ought to be faster and more reliable because the camera sends the signal directly to the receiving device instead of an external AP rebroadcasting it and halving the available bandwidth.
The problem is with the software. It disconnects and sends data incredibly slowly, orders of magnitude slower than what the hardware is capable of.