Would you feel the same way about a closed source local-first app that used sqlite as the underlying database?

That would let you access your data forever, albeit you might still need to write your own scripts to port it to another app.

wouldn't it be enough for the underlying user data to be stored in a well-documented and widely supported format? I don't care if Obsidian, Logseq or similar are open or closed source if my data is just a folder of markdown and jpeg/pngs.

In simple cases maybe but in general how the format is actually interpreted matters more than what some spec says. Markdown is a great example because in practice almost every markdown renderer does things a bit differently.

In theory, open formats would be enough. In practice you still end up depending on peculiarities of the software handling those formats more often than not so I agree that having access to the source code and permission to modify it when the original vendor's interests no longer align with yours is the only solution.