"Don't modern laptops / tablets etc. have their own SIM cards and cell hardware ?"
As said, some do. It's usually an option on business laptops only and costs rouhly @£€200.
Macbooks don't have internal cellular options.
"Can't they connect their phones with bluetooth or USB ?"
Of course. Bluetooth should be the last resort since BT has a very slow transfer rate. If you're happy with a 1Mbit/s (give or take) connection then BT is fine.
Wifi is mostly just another thing to go wrong though - USB is by far the most reliable.
To me USB is more of a hassle since there's the cable. I certainly have not had problems with WIFI since it has been a standard in every laptop and tablet for the last 10 years or so, and it just...works.