"How" is that they only inlude the private key for that specific router, and then that key/cert itself is certified by the real CA cert, the key for which is not kept on the router itself?
Constructing a scheme where NSA is an active agent in the threat model was not an original requirement :)
You are welcome to introduce any way to produce any part of a router or a PC for that matter that would protect from NSA, it seems that the biggest players in the field are still working out and it is very much a work in progress. When you have an adversary that is able to intercept hardware in transit and spend endless amounts of dollars on devising clever hacks or undetectable hardware exploits, then yes, you're right, some TLS scheme, regardless of where the certs are, is not going to be enough.
but this requires internet access so barely a solution. https://engineering.fb.com/security/delegated-credentials/
I don't think that the fact that private keys for routerlogin.net are bundled with the router are an issue. It's very logical to do so, and BETTER than plain HTTP in most real-life scenarios.
routerlogin.net is a local server (when you are using the router) and not a remote website so it's expected that you can trust the content as much as trustable your local network is.