I'd guess that migrating from any of the local cloud DB variations (Aurora say) is unduly hard once you've migrated to it. But that's just a guess. It is certainly a PITA to migrate, I know that for sure.
They merely say that after doing a market study, they noticed that: egress fees are significant, technical barriers to interoperability are in place and the discount structure based on committed spending is suspicious. From their point of view, that warrants an actual full investigation by the Competition and Markets Authority.
That's probably not a great example of vendor lock-in.
For example, they whack your self-hosted or other-vendor-in-AWS options with cross-AZ bandwidth charges that they exempt you from when using RDS.