> This isn't actually possible

Bambu absolutely could create a system where their printers both communicate with the cloud and local devices, they just don't want to do the difficult software engineering necessary because it is difficult. This is not theoretical either; I work on production devices with hybrid cloud and local functionality. Engineering around a zero-trust threat model (as in you assume the user can and will tamper with the device) is completely doable.

For instance, using a push-only RPC model where only the cloud can initiate a request is one zero-trust strategy that can be used for ensuring a predictable network load on cloud infrastructure, which seems to be their main concern.