Before you can discuss whether a "collapse" really happens, you first have to ask what the wave function even means physically, and that's a big part of the dispute.
First off, I'd argue that the most cogent interpretation is that a wave function proximately represents knowledge or information held by an agent about what the physical parameters of a system are, and the collapse is acquisition of new knowledge by said agent. That is, the proper direct, semantic value to attach to the mathematical term $|\psi\rangle$, similar to how we attach to the parameter $\mathbf{v}$ in classical mechanics is "the speed and direction at which something is changing its position", is "a knowledge state" (and in the context where that the system's observable set is tomographically complete for that Hilbert space, a maximal knowledge state). The question is, given the various unusual behaviors of such, is there a physical object, or part of such an object, underlying said knowledge, which is also of the same "shape", if one wills, and that is why that we see said behaviors?
And in that case, we can then further ask if, given that after our measurements we have to update our knowledge to change our subjective wave functions so as to retain statistical accuracy on subsequent measurements, does that change there likewise also reflect one-for-one a change in that physical object which likewise is also, as you suggest, instant and non-local? And if so, what is it about "measurements" specifically that distinguishes them from other interactions in making them liable to generate that change? Or, in fact, if there is no change, why is it that, despite there being no change, our knowledge remains accurate and thus what else has changed so that the unchanged prior "wave function-shaped object" is now behaving as though a different such object is in play?
And that's where there's no established answer. Because given our accumulated experimental science so far, we can imagine any number of such "implementing" constructs at work "behind the scenes" of the subjective theory of quantum mechanics, and they would give us the same results. And some of those may exhibit non-local changes. The only way we could know if one or more of such were "true" or not, would be to find a situation in which quantum mechanics fails, then try to "reverse engineer" what that says about all the other situations where it succeeded.
So no, there is no principle that we are aware of that has empirical support which would forbid such "behind the scenes" non-local objects. It is certainly reasonable to suppose that there is not such an object because all observable phenomena exhibit local causality, and the most parsimonious idea is that local phenomena are generated by locally-causative mechanisms, but that is not a proof of such.
That said, I've long wondered if there may be a way to derive the theory of quantum mechanics from some principle of "economy of information" that the Universe tries to limit the maximal amount of information that systems contain (or in some other way "permits only a finite maximum quantity of information" that is suitably formulated so as to reconcile with the possibility of an infinite spatial extent thereof). This is based on the fact that the existence of nontrivial probabilities corresponds to a restricted quantity information as per Shannon's theory of information, and the fact of how the behavior under measurements "looks" in that squeezing more information out of one aspect of a system causes a loss in other aspects, strongly is reminiscent of that some sort of underlying "capacity", "buffer", or the like has been "saturated". It would not necessarily categorically rule out the existence of a "wave function-shaped carrier or encoder" of that information, but it would strongly argue against it philosophically, because such an encoder would be infinitely wasteful, for it takes infinite precision real numbers to describe such a thing literally.