Regulation is required
Consumer protection regulations, with significant penalties, are needed. Any devices (not just toys) that don't meet the following should be classed as illegal surveillance devices:
1) All recording or monitoring (even locally on the device) of audio or video must be very clearly highlighted on packaging, and explained, and must be able to be fully turned off (no further monitoring at all, even for the activation command, until it is turned back on again), with a parental control lock to prevent re-enabling by children if the parent has turned it off.
2) Any feature which can send audio or video (live or recorded) anywhere outside the device must require a locally processed activation command to initiate the recording/sending. This might be a spoken command (such as the name of the device), processed locally, but it could also be something like a button on the device or a menu item. The recording/sending must be for limited time (less than 1 minute, maximum duration explained on the packaging).
3) Activation must not be possible remotely (even for law enforcement or "safety" purposes) - it must require a local user interaction.
4) There must be feedback to people in range of the collection (e.g. an led or an icon on a screen) whenever the device believes it has received the command and so is recording/sending audio or video.
If someone like the EU took the lead on this, then it is likely that these very reasonable protections would become generally accepted standards.