I get where you are coming from as an idea, and generally I agree you should own your data. That being said you can export your data from Squarespace, you just

I get where you are coming from as an idea, and generally I agree you should own your data. That being said you can export your data from Squarespace, you just can't "transfer" your site to alternative hosting because the platform is proprietary. So it isn't that they won't let you leave, it is that you are trading (pros) not having to think about hosting and security for (cons) slightly higher migration costs, and I think in this case pros outweigh the cons for sites below a certain level of scope.