I found out the answer.
- If you don't choose connect to a carrier and you do your own SIM swap there's no activation fee.
- If you choose "connect to a carrier" your carrier will charge you an activation fee. Typically $30 though some contracts may reduce it. I can confirm AT&T charges at least $30.
So if Connect to Carrier has a "$30 discount" then it's a wash. If "connect to carrier" has no discount you will pay an extra $30 in the end.
If there's a "Connect to Carrier" discount Apple will show that as the purchase price, but in reality the purchase price is $30 higher.