Exactly. There are plenty of rootkits out there that can destroy the BIOS or something, and writing a way to run that remotely that would be pretty easy (just set up a cron job to check an online service periodically to see if it should brick itself).
However, I’d rather the thieves be able to use something they stole from me instead of just creating more ewaste. So I’m against the idea of remotely bricking things, especially for something like a gaming device where there is no personal information. For something like a phone, I just care that my personal data is safe, so I prefer a remote wipe to a remote brick.
I instead protect my stuff with physical measures instead of technical.