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And that here, the box also helps contain any flying sparks from a failing connection, so the embers don't find flammable building materials to set fire to.

Same here - strain relief is pretty much ignored here (after all, the only strain that will ever be on the wire is the cable's own weight) but keeping electricity and flammable materials separate is the main purpose of a box in hollow walls of any kind. Besides, it's supposed to keep any possibly conductive items inside the wall from making accidental contact with live parts...

Not using a box is the worst hack job you can do here in Europe...