If you decide to change your managed host, you take your domain name and database with you, so outwardly, nothing changes and you lose nothing.
It's about the same scenario as email: if you've got backups of your mailbox (or Mastodon equivalents) you just set the same accounts back up and restore from backups. In some ways Mastodon is slightly better because it makes it easier to backup/restore everything about an account versus there are a lot of email hosts that provide no way to restore a previous mailbox from a different provider, whereas in the Mastodon hosting world more of the hosts seem happy to help you restore anything you need to. In other ways it is a little weirder because the people you follow might get resubscription notifications when you restore from a Mastodon backup, but that's not really a huge deal.