As we know Private keys are generated only Once on every hardware wallet while setting up.
We can't generate it many times as we want, if that fixed one generation of key while setting up every hardware wallet are already compromised?
That's not true. You can generate as many seed phrases on your hardware wallet as you like. If your hardware wallet only allows you to generate a single seed phrase, or even worse already has a seed phrase generated on it by the time you receive it, then I would bin it immediately.
How do we trust anything or anyone that it's a complete random generation, we are not in it we are trusting manufacturer's? It's like trusting third party?
By using open source software which you can personally review the code so you know what it is doing. If that's not enough for you, then you are going to have to build your own device from scratch so you know what the hardware is doing as well. If that's not enough for you, then (and far easier) will be to generate your own 256 bits of entropy by flipping a coin and manually turning that in to a seed phrase.