They wire the money to my bank, of course. I've done this pretty regularly with several different banks for years, and have never been asked even a single question by any of those banks, or ever had them delay the availability of my funds.

I can't tell you from personal experience if it would be the same if my amounts were a million plus, but they are not insignificant amounts either. I'm quite sure that attempting to deposit similar amounts of physical cash at a bank would be at least somewhat challenging.