That wouldn't work because HSMs are typically not delivered with keys, you generate the private key yourself.

Ok, makes sense. It could also be that the HSM was shipped from one office to another after keys had been loaded onto it. Dunno.

In "secure" places, HSM's are basically in a vault with armed guards.

I have seen HSMs in a concrete fireproof room, inside another concrete room, inside a regular room, inside a nondescript building. This one required the use of 3 persons (one to authorize entry past the 2 guys with rifles, one to unlock the vault rack with the hsm, another to authenticate to the HSM to perform work).

Company or agency?

a very large private company

HSMs are designed to resist exporting private key material. And to sign something, you normally have to enter a PIN or a password. :)

You don't ship HSM's with keys (you initialise them on-device yourself) nor can you read read keys out from one (at least in theory).

if the goal is to gain access to HSM’s signing functionality and you don’t need to know the HSM’s keys to gain access to its signing functionality then something else is being guarded that is essentially the key.. For example be it a machine locked in a room, then the room key is the key. Or maybe someone’s retina, or a sign-off from someone with clearance, etc. (at least in theory)

That’s a general theory though, but I’d think the same fundamentals apply

Also this only serves to prove that some powerful entity that operates on secrecy, like a government or mega corp, is likely who executed this. I’d like to fantasize some suave, determined black market salesman with a rough childhood and his band of cyber criminals broke into both of these facilities, but seeing how difficult it is to accomplish something like this, it seems more likely that someone just let them in through the front door.

In theory, theory and practice are the same, in practice they're not.

Well, an HSM that doesn't meet those requirements is essentially spoiled milk and of little value. I agree many HSMs are found vulnerable eventually.