Though your point is still totally valid, I'm just thinking out loud.
Cheap and reliable Internet access is still not widely available. You don't want to have your HVAC stop working because ISP botched something up. Frankly, IMO there should be zero reason for any of the HVAC control loop to extend beyond the building. Sending data from your controller to your device next to it through half the world and back is insane, and yet it is what's happening with IoT right now.
1) Reliable internet isn't everywhere, it cuts out a bit.
2) A lot of internet enabled thermostats are just not that great at reconnecting when the eventually loose their connection.
Though to be fair the thermostats generally will just continue on the normal schedule if they loose connectivity.
The company ended up using on a different wireless protocol to talk from the base station to the thermostats. (z-wave or zigbee fwiw).
Ironically we had a 80s error programmable thermostat in the office, which worked pretty well.
I don't know, again I'm just thinking out loud, I'm no HVAC professional. We do use the internet to manage off site devices in my company and we tend to have more issues with power outages than we do with our ISP uptime, it's been a good solution for us.