Hello,
I also didn't want a mailbox that, whether thermally separated or not, leads directly into the interior of the building.
In our town, there was a rather "busy" "gang of kids" for a while who made a game out of blowing up mailboxes with New Year's Eve firecrackers.
For that reason alone, but also because of the other aforementioned "villains" and the thermal aspects, I much prefer a mailbox that hangs on the wall from the outside.
Regards,
Dirk