Consider a small distribution of charged particles enclosed by an arbitrary volume $V$ with boundary $S$.
It can be shown that the total mechanical momentum of the particles, $\mathbf{P_{mech}}$, obeys the equation:
$$\frac{\partial}{\partial t}\left(\mathbf{P_{mech}+\mathbf{P_{em}}}\right)=\int_S \mathbf{\overset{\leftrightarrow}{T}}\cdot d\mathbf{S}\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ (1)$$
where $\mathbf{\overset{\leftrightarrow}{T}}$ is the Maxwell stress tensor which is a $3\times 3$ matrix with elements defined by:
$$T_{ij} = \epsilon_0\left(E_iE_j-\frac{1}{2}\delta_{ij}E^2\right)+\frac{1}{\mu_0}\left(B_iB_j-\frac{1}{2}\delta_{ij}B^2\right)$$ and $\mathbf{P_{em}}$ is the total electromagnetic field momentum in the volume $V$ given by:
$$\mathbf{P_{em}}=\epsilon_0 \int_V \mathbf{E}\times \mathbf{B}\ dV$$
Let us explore the meaning of equation (1) by varying the arbitrary volume $V$. Let us make the reasonable assumption that we only have a finite distribution of charged particles. In that case the components of the $\mathbf{E}$ and $\mathbf{B}$ fields must drop to zero at large distances. Therefore if we extend the enclosing volume $V$ so that its boundary goes to infinity then the surface integral of the Maxwell stress tensor must go to zero. Therefore equation (1) simply becomes:
$$\frac{\partial}{\partial t}\left(\mathbf{P_{mech}+\mathbf{P_{em}}}\right)=0$$
Thus the total momentum of the particles and the total momentum of the electromagnetic field, evaluated over all space, is conserved. In other words the state of the electromagnetic field simply mirrors the state of the particles. Also we have a global momentum conservation condition rather than a local one. Perhaps this does not represent a "fundamental" description of the system?
Now let us shrink the volume $V$ right down to the size of the distribution of charged particles. Since the volume $V$ is small then the total electromagnetic momentum in that volume will be small. Thus equation (1) now becomes:
$$\frac{\partial}{\partial t}\mathbf{P_{mech}}=\int_S \mathbf{\overset{\leftrightarrow}{T}}\cdot d\mathbf{S}$$
Thus the total force on the particles, $\mathbf{F}=\partial \mathbf{P_{mech}}/\partial t$, is provided by the surface integral of the Maxwell stress tensor in the region of the particles. This is equivalent to the local electromagnetic field acting on the particle charges through the Lorentz force law.
Now my question is this: if we take the second volume definition how is momentum conserved locally?
The Maxwell stress tensor supplies mechanical momentum to the particles but where does that momentum come from? It cannot come from the electromagnetic field itself as our second definition of the volume $V$ is so small that there is very little electromagnetic field momentum inside it.
I think the momentum supplied to the particles must come directly from the particles themselves. This makes sense as the system is closed - there are no external forces acting on the particles.
Thus we have:
$$\frac{\partial}{\partial t}\mathbf{P_{mech}}=\int_S \mathbf{\overset{\leftrightarrow}{T}}\cdot d\mathbf{S}=0$$
Thus in this description of the system, which is perhaps more fundamental as momentum is conserved locally, only the particles themselves carry that momentum. The local electromagnetic fields transfer energy-momentum between the particles but do not contain energy-momentum themselves. It could be that for each transfer of energy-momentum from particle A to B there is a simultaneous transfer of negative energy-momentum from B to A. Thus the net energy-momentum in the local field is zero.
So perhaps electromagnetic fields, as such, do not exist and instead there are only direct electromagnetic interactions between charged particles?