They do, which is why you should never connect them to the internet.
The idea of not letting a device connect to the Internet is slowly becoming a thing of the past unless you live in a faraday cage (which is becoming more and more tempting). Oh, correction, thanks to mesh networks like that of Alexa living in a Faraday cage is not actually enough if at least one device is connected. Yay.
The more difficult option is if they come with cellular modems built-in, thus bypassing any of your infrastructure (which needs authorisation). That of course is technically possible, tho probably commercially unacceptable (modems cost ~15 to 20 dollars in bulk which is significant at smart-tv scales, not counting the data cost).
Nope, the whole point of Amazon Sidewalk is that it "just works." I don't think there's even a way to know what devices are connected, let alone any kind of authorization.