No, you’re right, we have not seen a case specifically of state surveillance specifically using a smart speaker yet.
Re: phones - yes, they’re a strictly higher ROI target, which is why they’re regularly targeted by state-level adversaries, who also seem to enjoy using every other tool and opportunity available to them to surveil and collect data on whoever they’re considering this week’s bete noire, including both warranted data requests from phone manufacturers, service providers, and cell networks, buying data from commercial brokers when that doesn’t work, or just outright hacking whoever they’re interested in.
But no, you’re strictly correct that to the best of my knowledge we do not currently have specific evidence that state level adversaries have leveraged the notably piss-poor security standards and data protections on IOT equipment containing multiple microphones capable of collecting room-level audio and separating out that audio into individual actors to surveil persons of interest, so, no need to worry.