It should have detected the disks going bad and allow you to request a replacement with 3 of 4 disks being good and then later a replacement of the second bad disk with 3 of 4 being good, no?
> I asked if they mean data lost on this single disk or the whole array, they said;
IMO this is the correct answer from Hetzner. They cannot know whether you run RAID 1 (which would be good), RAID 5 (which would have killed the array), RAID 6 (good) or RAID 10 (might or might not be good). Asking before replacing could possibly allow you to save data in case the disk is not completely dead, but rather has a bunch of faulty sectors only.
The only issue I personally see is the bad English. I am German like Hetzner and even I have issues understanding that grammar.