because the longer they wait, the higher the chance of being discovered before they're able to steal anything. I'm sure there's some game theory about this

Not really. We have physical proof of the compromised Ledger devices; no one has ever presented any specific evidence that Supermicro hardware was similarly compromised.

https://kycnot.me/?categories=esim or simply used a fake identity on some online supplier's website.

UPD: NL, just like some other few countries in EU, doesn't require mandatory identification for SIM card purchases and activation

Even if you have perfect provenance over every component you put in, the moment it leaves your factory to be shipped to customers, it can be tampered with.

Even if you would hand it from the factory straight to a customer that comes physically to your factory to pick it up, then you would still require some sort of ID to know that that person is in fact the customer I suppose. Which removes some of the advantages of cryptocurrencies

You can use FDE all you want but you're still vulnerable to that file being stolen. Do you install programs from outside your package manager? Do you personally verify and compile everything? Do you pirate stuff? Use npm? Have an AI agent? Do you fully trust the browser sandbox? Click on email attachments? Even if you are Better Than Most, judging by the amount of youtubers that get hacked through stolen cookies, it's clear to me that even above-average people are susceptible to having files stolen.

Keeping your wallet file on a USB stick (or encrypting it) merely reduces the window of time an attacker can get the information. The attacker with local access could simply replace your wallet software. Or make use of a keylogger, screen capture, memory capture, etc.

In that context a dedicated device is the safer approach, and a hardware key is a minimalist device to do that whilst also being less inconvenient than an airgapped dedicated crypto laptop.