Thank you all.
Yesterday I was taking a look at the SecureRandom in Bip39Dialog.java (from the Sparrow Wallet github) but this was too complex for my level of knowledge. I get lost in the github. I understood that I was putting my trust in the implemented Java (more than Sparrow).
In parallel I spent more time reading about the "dice roll method". My Hardware Wallet is an MK4, I will only use it with PSBT.
In the end, I went with the following steps (a bit more risky than just using the MK4):
1) Booted an Ubuntu installation disk in my homemade Desktop PC (ethernet unplugged, bluetooth usb unplugged). @BlackHatCoiner Yeah this is not air-gapped, but the odds of a risk happening I think are very low.
2) Manually rolled a dice a bit more than 100-110 times generating a number.
3) Used following Coinkite simple script to generate the seed:
https://coldcard.com/docs/rolls.py (I copied this python script into an empty USB drive so I could use it in the cold~ booted Ubuntu. I understood how the script works for the peace of my mind).
(I generated the same seed in MK4, because I was going to import in there anyway). 4) Finally did a full format (overwriting with zeros) of the Ubuntu Live Disk USB and the other USB Disk (containing the rolls.py file) to not leave any evidence.
I fully understand that is more risky than just using the Hardware Wallet, that always would return the same result. And to be honest I don't believe that what I did is safer than just using Sparrow Wallet generator. But I did it anyway because looks like a very low risk task and I understood the small python script.
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I will also add a passphrase later.