What seems to suck about the uvx way of doing things is that your script and dependencies are now in one document. It just seems so much more useful for so many reasons to keep these things discrete in my mind. Especially when we are talking about uvx which is something probably only a fraction of python devs actually use vs a built in paradigm of the language. Yes, conda is not built in but it might as well be with the amount of influence it has on python development and downstream tools to manage conda envs (e.g. mamba or snakemake).
That's a misundersanding of uv - the inline script dependencies feature is strictly optional. You're encouraged to use pyproject.toml as a default instead of that for most projects. https://docs.astral.sh/uv/guides/projects/
That's not the uvx way? Dependencies at the top of a script was outlined in PEP 723, which uv/uvx added support for. Not everything is a "project", some files are just one-and-done scripts which should not have to carry the burden of project/environment management, but absolutely should still be able to make use of dependencies. The "uvx way" of doing it just means that it doesn't have to pollute the global/user install, and can even be isolated into a separate instance.
Besides, not everyone uses conda, and it would be quite a stretch to say it "might as well" be a built-in compared to, well, the actual built in, pip! Plus, uv works quite nicely as "just a pip replacement", which is how I started with it, so it aligns quite well to the actual built-in paradigm of the language.