You're talking about AMT (which runs on the Intel ME - Management Engine). The ME itself, however, is on every CPU (running Minix on Skylake and later CPUs, ThreadX on earlier models), because one of the responsibilities of the ME, apart from being a backdoor, is to manage the CPU: power it on, handle power signals, etc. The CPU wouldn't run without the ME, so it's necessary that it's on all CPUs.