So... if you own an inexpensive Alexa device, it just doesn't have the horsepower to process your requests on-device. Your basic $35 device is just a microphone and a wifi streamer (ok, it also handles buttons and fun LED light effects). The Alexa device SDK can run on a $5 ESP-32. That's how little it needs to work on-site.
Everything you say is getting sent to the cloud where it is NLP processed, parsed, then turned into command intents and matched against the devices and services you've installed. It does a match against the phrase 'slots' and returns results which are then turned into voice and played back on the speaker.
With the new LLM-based Alexa+ services, it's all on the cloud. Very little of the processing can happen on-device. If you want to use the service, don't be surprised the voice commands end up on the cloud. In most cases, it already was.
If you don't like it, look into Home Assistant. But last I checked, to keep everything local and not too laggy, you'll need a super beefy (expensive) local home server. Otherwise, it's shipping your audio bits out to the cloud as well. There's no free lunch.