This does not always have to be the case. You can look into the
Two-Factor Key Generation (2FKG) process used by Ballet company to create their physical Ballet Crypto cards. A private key is generated in two physically separate locations without either having access to the complete key before it is permanently written on the physical card and protected from tampering. I don't know if something similar can be applied online.
But you would need to trust Ballet claims to do what they say, you would also have to trust all manufacturing process, and they are third party in this case.
There are similar paper note wallets that work in similar way, but I don't have control over anything in both examples.
In case of multisig at least I have partial control.
No, I was not thinking about using Ballet Crypto cards this way, but rather to use their method of creating private keys or seed phrases that no one has full access to. I do not know if this is possible with online storage in a safe and trustworthy manner since they use physical cards.