I disagree.

ARM TrustZone is predicated on the Secure World being potentially able to monitor and modify the entire Non-Secure World, because it has control over the MMU (see TZASC, TZMA, TZPC). The reverse is clearly impossible.

SGX instead is defined as a "secure" sandbox, it has basically no privilege even over the process it runs in.

Having said that, researches demonstrated examples of SGX-based malware, which is ultimately rooted in the fact that SGX state is not fully observable (i.e. you can load encrypted code, though you need a lot scaffolding). However, such malware uses a lot of tricks whose side effects can be detected (notwithstanding the fundamental microarchs attacks).