A DSL that is a string, while having some downsides, does not have the arbitrary limitations of the "host" language. Either approach has its pros an cons.
It's the tooling aspect that's my gripe with it in a string really, it makes it less likely (and more editor-specific) that I can have syntax highlighting, LSP, etc. That's incidentally the only way in which I don't prefer SQL to Django ORM - i.e. it really isn't that it's a DSL (SQL) that bothers me, it's the string.
But hopefully obviously it's not a big deal, I was just surprised at the look of it when I saw it described as 'really nice' and that the project describes itself as 'focussed on ergonomics'. It just doesn't seem brilliant to me, fine perhaps, par for the course apparently, but not remarkable.