They do the change internally. Thats why your prints look so strange sometimes - sorry, couldn't resist. Even inkjets are based on CMYK - look simply what ink colors are in there. The problem is that different color models have different capabilities - and no-no-s. Bright green (pure green) is one of these. Good in RGB, impossible in CMYK. I prefer to see the result beforehand in Photoshop, gives relatively good previews of CMYK images. Relatively good.

One day your ship comes in - but you're at the airport.