Ha, thinking of on board power generation, I've mentioned before that the Abit KA7 generates its own 3.3V supply from the ATX 12V, and doesn't use the PSU 3.3V at all (as far as I can tell). And that was over 20 years ago.
I used to think the size limit for switching supplies would be the output inductor, which can be smaller if the supply switches faster, but that means you need lower gate capacitance (otherwise switching losses become big). But knowing I'm out of touch, I just went and looked, and DC-DC is more awesome that I thought: https://www.farnell.com/datasheets/3208420.pdf
40Amps@3.3V, @>95% efficiency (so supplying around 132W and burning 7W), with no external inductor (it's built in), in a 15mm x 30mm x 5.2mm package. Even higher current at lower voltages, but the efficiency drops off.
Maybe that's the sort of thing that rmay was talking about for what's currently possible, and the question is more about doing AC-DC in a small package. Maybe the problem is that FETs able to maintain isolation of 340V (peak of a 240Vac supply) are too big to switch fast enough?
I quite like the idea of house level 24V DC distribution. One good high efficiency AC-DC adapter by the fuse box, then run DC everywhere, plus AC to anything that really needs the power (kettle, oven, kettle, washing machine, iron. Kettle.). New devices then just need to do low voltage DC-DC. Would need some DC-AC adapters to connect some old transformer based equipment.