In principle, I agree.
But I could either use the Sensi thermostat with the Sensi app (only possible through the cloud, though) or use Wink to have it integrated with HA - I decided to take the 2nd route.
As I had the thermostat before I started with HomeAssistant, and as it works fine, I have not done any research on a potential ‘cloud-free’ replacement.
I was thinking of using my Aqara Zigbee temperature sensors as a replacement for the thermostat one, but that would
a) only add complexity
and
b) still require a cloud connection to start and stop the furnace through Sensi.
So, until the Sensi croaks, I will probably stick with it.