I do not know if Transport for Wales loyalty is as strong, though that may change if all the new trains really transform the experience. I could see how it might be different in The Valleys of Cardiff, but since the Intercity services in Wales are provided by GWR and Avanti it is a bit different to Scotland where Scotrail provide the majority of services between big cities.
Is it that different? Sure, Cardiff<->Newport<->Swansea is an inter-city flow (a flow connecting cities), but so is the District Line, and so are Cov-Wolves via New St stoppers - I'd probably put it more into the bracket of the latter as a regional journey that connects cities rather than a traditional long distance InterCity service, because the three cities are really very close together.
I thus wouldn't say that Wales and Scotland are vastly different in this regard - there's the domestic TOC and then there are the "international trains" to England which are primarily used to travel to London but are used for some domestic journeys. There is the difference that as someone else said TfW provides a fair bit of English domestic service (e.g. the Borders* and the Manchester Airport service being provided by a Welsh "international train" to England rather than the English TOC) and that it even manages a few fairly major stations in England (Hereford, Chester and Shrewsbury) though. Having said that there is also a Scottish "international train" to England - the Caledonian Sleeper.
This sort of thing goes on all over Europe and has done pretty much as long as railways have been mainstream there, and I'm not sure it's really any sort of issue at all. It wasn't even an issue before the EU existed, bar stops for passport and customs checks at border stations.
* That's sort of analogous to the way intercity trains from western Austria to Vienna go through Germany, though those don't usually stop and carry passengers within Germany so it's not quite the same.