I get that light-bulbs need to connect to receive control commands and get firmware updates, but I'm wondering what other things might there be to worry about here?

Collecting usage data, sure...

Amazon Sidewalk has been brought up a couple of times in this thread and it's got me thinking about how others could also bring up similar ambient/background networks that piggyback off your main network.

If this were to happen, then your TVs and other devices wouldn't even need permission to connect to your main network and instead go through one of the many ambient/background networks.

Perhaps there's good reason to only use zwave and zigbee smart devices instead of wifi ones.