There are theoretical issues where a malicious source of entropy could control the PRNG output, but it’s not a very practical attack.
https://blog.cr.yp.to/20140205-entropy.html
Intel could much more easily compromise and attack systems than make an implementation of RdRand which is malicious in this manner.
Oh yeah, if your hardware is malicious you are pretty much F'd.
If a deliberate covert channel is the best thing you can come up with from a vulnerability, you usually don't have much of a vulnerability.