Why? As long as it doesn't have a microphone/camera then this sounds like a positive.

And they don't collect any sort of personal data. Hasbro did a pretty solid job here minimizing risk surface area.

Bluetooth LE range is easily magnified with a cantenna. The device will play audio sent to it over an unencrypted unauthenticated link to your kids. Also it will show videos sent over the same link (but they must be small because eyes are small)

Both of these are problems for some parents.