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.
For most, “these cameras might livestream your bedroom to the open internet if you aren’t tech savvy” is a bigger dealbreaker. And “the product from XYC corp is controlled by XYZ corp” is not concerning, but what they expected.
The idea of tech sovereignty for the sake of it is not an idea that resonates with many people outside of the tech community. Many people buy a product or service based solely on their immediate need.