With a real app on my computer, I can continue to use my documents indefinitely. Even if the app developer goes out of business and it can no longer run in the latest version of macOS, I can set up a VM or keep an old computer or boot disk around to run it.
That will never be the case for apps running on someone else’s server.
These base practicalities are why, no matter how good the user experience of Figma, I can never rely on it for anything important or long-term.