But then you’re tethered to the device manufacturer and probably need other Terrible UX like an account/credentials, password resets, and so on. And that tether also opens the door for the company to remote control the product, spy through telemetry, and remotely “alter the deal” at their whim. Some people might be ok with this but a “tether to the company” is a deal breaker to me for most products.

For me too, but we can manage keys, firewalls, routing, IP addresses, etc. The issue is a solution for the vast public of end users who can't do those things. Anyway, the vendor could offer the proxy as an optional service, and let you and I do what we want in some advanced mode.