I don't work for Intel, so I don't know exactly how they do this. But I don't think this is all the processor (it won't work without a 3G radio for one, so at least some of this capability rests in the mainboard), and how much is the firmware.
My guess is when you boot the machine, the processor runs the BIOS/EFI, and when initializing the 3G radio it sees if there is a flag. If so, the system shuts down. If it does this before even looking for an OS or starting up the display, you'd never know it even tried to boot. Otherwise, it goes on its way.
Also I only see this being used on laptop systems (as they are the only systems likely to have a 3G radio). Adding a 3G radio to a desktop mainboard seems like a waste of money (but if you are the CIA, maybe it's worth it).