The ones that support HomeKit do record to the cloud, but it’s at least encrypted. There’s failure points, so it’s not a fool-proof system, but it’s considerably better system than most cloud camera systems that will joyfully hand over your videos to the police without a warrant or store it in some S3 bucket that doesn’t even have user level access controls.
I realized I’d inadvertently crossed into Switzerland due to a wrong turn when my rental car’s navigation system alerted me to the fact. Whoops.