Your not gonna get what you desire with consumer level "all in one" gear. You need separates (ie router and AP).
As a suggestion, look at PiHole to stop some things from reporting (also stops some ads and some malware)...not the complete answer though since, as already posted, your ISP sees all....
Once you get away from consumer level, look for routers/switches that support VLANs. For those devices that you just want local access to and not report anything to the mothership, you would need to create a VLAN with no internet access and place the IOT devices on it, unfortunately, sometimes you lose the easy "connect from anywhere" functionality.