I can empirically positively certify your tentative hypothesis. The Cr4.CET bit is always set. For every process. It does not matter if CET is used, userspace or kernel, regardless.
I went to a friend and took over his gaming computer, setting up a KD session. I looked with and without Core Isolation + kernel shadow stack, and at both kernel and usermode threads and used even a legacy Windows 7 hypertrm.exe, for which it is fact that it was compiled without CET support.
Doesn't that mean that Alex won't have the choice to use the xsaveremovefeature 0x800 option, because this only disables userspace shadow stack. Not the bit? And it's the bit, together with the incompetent rwx ring0 shellcode, that causes the BSOD.
Who sets the damn bit (early boot? late stage boot? ntoskrnl at some point?) and can it be prevented? Because that means essentially that Alex is forced to use Core Isolation.
It would be nice to have a freedom not to be forced under Core Isolation and to have a choice. An incompetent rwx ring0 shellcode killing your system otherwise is just ridiculous.