It's a longstanding, and obviously false, rumor. It would be trivial to prove that these things connect to open wifi networks to phone home, but no one has ever proved that they do that, because they don't actually do that. It would be a little harder, but still very easy, to prove that they connect to cell networks, but no one has proved that they do that either, because they don't actually do that either.

Keeping them disconnected from wifi is sufficient.

Cellular modems seem unlikely, because both they and the service plan they'd need are too expensive to be justified by any benefit to the manufacturer.

It’s perfectly legal to put a cellular modem in a TV, but not without disclosing that to the FCC and on product labels. This and the mesh network thing for TVs are (currently) a conspiracy theory, which sucks because it muddies the waters in advance of it inevitably happening in reality.