To be honest I don't exactly agree despite really wanting to agree with you and thinking you're right on this topic generally. I would say CL should be taken into account with other factors but there are proven examples of dominant teams domestically consistently being poor against the best in Europe (just look at Barca).
The problem is, as much as our xG brains don't want it to be true, and want there to be justice in football where the team who wins in the midfield, defense, attack phases, and outplays the opponent, wins the game, unfortunately, the conversion of chances and mentality of a team plays very hard into how good they are and if they are likely to win high pressure games.
xG can be seen as a reflector of 'who played the better game' in general. But when you have very capable, talented attackers with top mental skills like Vini and Benzema you are going to win most games creating the same amount or even a little less than your opponent, that is the idea that Madrid have won most games based on.
So in a game where Madrid don't play the best game but create a few chances anyway they always have a chance because of that amazing finishing talent. The only way to definitively beat them is to deny those two chances completely, easier said than done, but current Barca have done it several times, maybe why we make it look so easy.
Yesterday is a perfect example - with Rodrygo instead of those two, but Chelsea and Madrid create roughly the same across the whole game yet Madrid ended 2-0 despite it being a totally wrong reflection of the game - they backed their finishers to come through and obviously, the story of the season for Chelsea is how theirs don't. Finishing talent and mentality of a team, and their goalkeeper, have to come into play when analysing how good a team is based on xG.
You can say they weren't tactically better - absolutely - but just had the far better individuals in attack. Maybe in a Super League that would improve because opposition teams can get used to playing them a lot more, drop their fear of them and tactically adapt with more info.
You have many valid points, but here is what I disagree with:
We can talk about mentality, but IMO that exhausts itself in not suffering from mental blocks and collapses. Madrid won't collapse when they are in adversity, the exact contrary to Barca who are snowflakes collapsing and losing their minds the first instance something goes wrong.
I give them that. 100%
But that doesn't explain all the rest of the story.
Not all teams are like Barca, or even like City and PSG, who suffer mentally.
Bayern have a strong mentality, Liverpool have a strong mentality and have registered great comebacks as well. But the fact is that these teams never get more than they deserve.
Despite their mentality, when they are not good enough, they won't go through.
That is what is changing with Madrid. The universe seems to always conspire in their favor and give them what they need. And this cannot be reduced to clinical finishing/goalkeeping either.
Sure, Benzema pulled some crazy finishes last CL, and Courtois had a great night last CL final. But what about the rest? Do they get credit for the opposition not being able to kill them when they have plenty of opportunities?
Chelsea players had 3 clear sitters at the dying minutes at Bernabeu to kill the tie last season, and all of them blew them by kicking the ball to the stands. They were players who could certainly put the ball in an empty net. That is not down to Courtois. Or even worse, the ball hitting Asensio's head and getting deflected onto Rodrygo's head to go into the net against City last season.
That is not mentality my friends. It has nothing to do with it. It is not goalkeeping or clinical finishing either. IMO it's pure luck and nothing else. The voodoo/black magic argument, despite sounding silly, has some valid, as it captures precisely that they always get the luck on their side on critical moments, and that can be reduced to any of the other factors.