This already suggests the owner of the CPU isn't who they are protecting, but it gets worse (even before we consider the risk from AMT). Starting an SGX enclave seems to require[3] a "launch key" that is only known by Intel, allowing Intel to control what software is allowed to be protected by SGX.
[1] https://software.intel.com/en-us/blogs/2013/09/26/protecting...
[2] Before the term "DRM" was coined, the same crap used to be called "trusted computing" (back when Microsoft was pushing Palladium/NGSCB)
[3] https://jbeekman.nl/blog/2015/10/intel-has-full-control-over...