Ask HN: Do you worry about CPU backdoors like IME?

On the surface these seem like a egregious affront on personal computing freedom and privacy, yet I rarely hear the topic brought up when the subject is being discussed. Perhaps the most damning claim to them is are government agencies’ ability to purchase CPUs with the ‘feature’ turned off.

What are the implications of such hardware on user security? Is the threat real, overblown, or relatively unexplored?