Choosing a foreign government to spy on you rather than your own government isn't a clear choice. While a foreign government is less likely to be interested in you personally and likely less able to directly cause you harm, you also have less recourse against them than against your own government and their interests are less likely to be aligned with yours.
Additionally, your government may be able to co-opt the compromised devices anyway and would certainly have an incentive to do so.
I'd also question that a device that is by-design-compromised is otherwise secure from bad actors. It is difficult to imagine the incentive structure that would make that possible.
Finally, once this personal data has been harvested by either government, there is nothing to stop these governments or rogue elements within these governments from trading or sharing that data with your own government or other actors.