device_display_name is optional in the federation response. Current Synapse omits it by default, but it can still be sent when explicitly enabled. Older Synapse versions also exposed it through some federation paths.
I believe you are saying that my statement, “Federation copies all of that,” is incorrect. I agree. I should have said, “Federation copies most of that.”
However, the main concern remains: a homeserver can still collect the client type and version, the device being used, room names, topics, avatars, and other metadata. Much of this information is not necessary for delivering end-to-end encrypted messages, and its collection is concerning in itself.