Because:
1. They're not normal CPUs, but SoCs, which have commonly had NICs on-die/package in for decades.
2. IME has already had unfettered PCIe, RAM, and QPI/DMI access for years, meaning full control over the NICs.
3. 802.11 still needs an antenna, so it's not like the SoC can magically rat you out from within a fraction-of-an-inch microchip, you colossal sperg.