Nest is wifi, the second generation added 802.15.4 - but I never dealt with the product.

  Pure RF connection cannot be called IoT, right?

You're correct. You always need a bridge to fill the gap between RF modules and the net. Such a device often adds functionality like buffering, keep logs, manage updates and provide a local webserver.

Which is kind of a shame. The internet got part of its breakthrough because it became tech agnostic on the low layers. Token ring? Optical? Cable? twisted pair? no worries, you can hook it up.

SDR could provide a solution in that field. But there's a good chance that patents/licences will be cumbersome, just like the current situation with wifi.

BTW, if you're looking for a good wifi embeddable module: Carambola 2 by 8devices is a solid product. I recently built a WEP-wardriver with one and it took just an evening of scripting and soldering.