That really isn't true. I know people who run their own PDSes, and who've moved their accounts from Bluesky's to their own and back. You can't do that kind of thing with Mastodon. Blacksky also runs their own PDS, relay, and app view.

And that's just the Bluesky-like apps. Other non-microblog atproto apps use their own PDS, or store data on yours.