I think state management is unavoidable for something like Pulumi. If it had to query AWS's API for all of your thousands of resources every time you deployed, deploys would be unbearably slow. So it just assumes your hundreds of DNS records from yesterday are all still there, instead of querying AWS for all of them every deploy. The state file is how that happens.

If you want, you can run pulumi with the --refresh flag and you can see just how much slower it is.