The second part is the challenge, and for some devices I've been unable to embed my own CA. I was hoping there was a proxy trick or some magic sauce I was missing. Perhaps where DHCP could automatically configure clients with a (insecure) proxy or something along those lines?
Nope, you're not missing anything.
I'm working on a similar problem (https://github.com/elahd/esp2ino/issues/16) with a project I maintain to sideload IoT device firmware (https://github.com/elahd/esp2ino).
I've been using both mitmproxy and IOXY (https://github.com/NVISOsecurity/IOXY), an intercepting proxy made specifically for MQTT. IOXY is a small, less mature project, but it's definitely worth checking out as a compliment to mitmproxy. Many devices managed via AWS IoT phone home over MQTT and, my limited experience aside, it looks like many don't bother validating certificates when authenticating over this protocol.