If the DJI Fly App is pre-installed on my RC2 controller for my Mini 4 Pro, why do I need a wireless connection to an Android phone?

[Meta4]

Will you clarify please? In order to use the Pro4, with 'say' waypoints,
Yes

Do I have to use a phone (I have the RC2)?

No

Do I have to share my location?

No and your equipment doesn't share your location except that the drone shares it's location with the controller and vice versa.
You worry unnecessarily about something that doesn't happen.