What cables are connecting to the internet for telemetry? Displayport to my knowledge don't support the kind of connectivity you'd need for that. HDMI does support ethernet and you could attach a small, malicious ethernet device... but no device I've seen has had the option to bridge network connections to HDMI, much less defaulted to it (and a cable that sticks a malicious device here might break ARC). Thunderbolt or USB4 cables could secretly include a hub and hang a malicious device off the hub... but it's gonna show as a hub and have to load drivers on the host system to enable the device to talk to the internet, and being asked to load an unsigned driver for your USB cable should be the biggest of red flags.
I have no idea how GPMI would implement a backdoor that wouldn't be immediately obvious to Intel/Nvidia/AMD/Qualcomm (or people making devices with their chips).
While theoretically possible, that is not a realistic threat at this time for anyone not being targeted by state-level actors.