Not quite. More like you prefer it if your father scores with your wife than the neighbor, because his interest is more aligned with yours...
Of course a manipulated device isn't ideal, but if it's one where I at least have some say in the government and that can in a lot of cases be trusted to respect human rights that's better.
I mean are you actually asking if it's better to be ruled by the US government than the Chinese government? It is possible to go see for yourself.
I pay taxes to my government so that they build infrastructure, run public services, etc. Foreign governments normally don't do anything for me, so I don't pay them taxes (unless I'm travelling or doing business abroad, etc)
I can think of no scenario where it would be acceptable that my government intercepts and manipulates a device that I ordered. If they would do that, I would protest and complain loudly.
Also, I'm not "ruled" by my government. The government provides services and creates laws for the people. I don't live in a dictatorship.
All countries are attempting to spy on each other. Of course they are. If you expect your country not to because of some misguided belief that this would make them a "good guy" you're just asking for your country to be weaker than others.
It's not cognitive dissonance. That's like saying, "Gee you don't like when the other team scores a goal, but you sure are happy when your team does it!"