Migrating a hot database is non-trivial in many cases. Even same database to a different cloud is not really trivial without downtime. Cross-cloud replicas are difficult, and if you do happen to use a managed DB you may have limited replication options.

I think they meant that changing RDBMS is hard, even though in theory you should be able to because you're "just using standardised SQL". As it is with cloud providers, in theory they're mostly the same, except in all the places they aren't, which make it hard to move once you're using one.

Just like you can export your data from any cloud database provider and move it anywhere you like.

That migration might be painful if you have a lot of data, but so is an RDBMS migration. You might need to change your code to support the new vendor's query language, but the same is true when moving to a new RDBMS, since there are usually implementation specific extensions that you'll need to port.