Even if it is just control traffic, it still uses up your bandwidth, and is additional surface area for a malicious actor to attack your network.
also, as far as illegal traffic and stuff: if the traffic goes through the amazon device, wouldn’t the isp see traffic that goes only go random amazon datacenter ? at that point they would ask amazon about it (hopefully) and do their homework.
And even if Amazon is tunneling all traffic now, that may change or someone may find a way to break out of it.
And even if law enforcement sees that the traffic is from Sidewalk, our legal system is pretty shit regarding the internet and I bet a dedicated prosecutor would try to get you for aiding a criminal because you technically allowed that access to your network. Look at the legal issues around running TOR exit nodes and the uncertainty there, in a lot of ways this is an opt-out version of that. (though I admit this might be a stretch, but I don't trust the legal system enough to handle this well).