Not true regarding ML, most ML methods support RMSE even if they are non parametric methods.

This is why the world model approach is so important. It allows you to feed back the prediction accuracy of the model to itself at training time, enabling it to predict (to some degree) its own uncertainty. If you jump through a couple of hoops you can also do this at run time to give it “spidey sense” that something’s not right with current inference.