Yeah that’s a great question – I’d have to check with the NEC, but I know that when our old Fan/Light switch was made, UL approved it with the schematics that showed Line/Load tied together (there’s actually not even a load terminal on the switch itself). But idk if they take into consideration NEC guidelines.
I guess what you could do if this does make you nervous about being up to date with code, is wait for our On/Off switch to come out as you’ll be able to put the load in the load terminal and pull the air-gap if you need to.
Let me check my notes too because I had this same question with Philips and one of their, “Friends of Hue” partners who sell a kinetic switch and their instructions also instruct you to tie line/load together.