It seems most of the newer cameras (Z6 iii, Z5 ii, Z50 ii) and the Z9 support „Wi-Fi STA“ mode, as Nikon calls it. All other models apparently only do „AP“ mode, where the camera turns into an access point - super annoying.
Curiously the Z8 (which is basically a Z9) and the Zf (which is basically a Z6 iii) don’t support STA.