Hmm, technically the BitKey is much more complex behind the scenes but I know what you mean.

The "setup" is done for you and you get a wallet on your phone without dealing with keys, seed words, xpubs etc. This is the benefit of using an opinionated product: you don't need to make decisions... but most Bitcoiners appreciate optionality because the whole space is constantly changing and we want to test and play with it all.

But then again, here is how I see your situation: the order of steps in your description was not ideal so here's my take:

1. Set up the ColdCard (as you have done already).
2. Go to export your wallet and choose the QR Code option instead of export to file. (See https://coldcard.com/docs/q-quick/#export-wallet)
3. On Sparrow, click File > Import Wallet
4. Click the Scan button near ColdCard
5. Present the ColdCard device to the webcam.
6. Follow instructions to complete setup on Sparrow.

By now you have linked the device and Sparrow without using SD Cards and making too many decisions like "did I pick the right file?".

Now you can generate an address, copy it and paste into the site I linked above and buy Bitcoin.

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FYI even BitKey uses third party services to buy Bitcoin, it lets you choose between Coinbase and Moonpay if I recall and you need to register with whichever one you choose.

If this doesn't simplify it enough for you, you need the BitKey, I don't know any other product in the market that is opinionated like that.

I think in the past they existed, but they were either unpopular or hard to maintain technically. Maybe it was also to do with the changing landscape of regulations. Now apps try to stick to being wallets, and tried to be less opinionated about subjective things like "which company should I buy Bitcoin from?" 

 Oh  -- so Sparrow is basically acting like a UI for the Coldcard at that point, right? Because the Coldcard is obviously not a web browser. 

If my understanding is correct then Sparrow, in that respect, is DISPLAYING the same information from the Coldcard as if the information from the Coldcard was a mobile or laptop with a UI enabling it to interact with the outside world via the internet. 

I thought the steps with Sparrow included the requirement to send all the bitcoin to a NEW & DIFFERENT address within Sparrow first before you sent it Coldcard, making two transactions rather than the one. 

The information displaying from Sparrow, in what you described, is all the same stuff on the Coldcard making it one transaction, it just isn't exposing the key to Sparrow and thus not to the outside world. 

Do I have that right?  

 Yes exactly.