Be a strong software engineer? It's not hard to extend existing data science duties to include more engineering work. There's always a demand in any company for more strong engineers so it's not hard to find ways you can contribute more seriously to the data engineering/MLE part of your team's work.

I've been a data scientist for quite awhile now at many different places, but every time I start interviewing again I always make sure to include a few pure software engineer roles in the positions I'm interviewing for. Even for some pretty elite teams, I'm still able to get to the final rounds but so far have always realized I still personally prefer the DS roles I'm looking at.

Any data scientist who wants to keep working on quantitative problems in the future should aim to be a solid software engineer.

Another comment here mentioned the on the job steps you can take, and that mirrors my experience. I also enrolled in Georgia Tech's OMSCS after a year or so of self study. About 1 year in I took a role using Python for network topology analysis software. I went from there to using go and C to develop a distributed database product. It's been incremental steps lower on the stack and towards more "pure" dev work. I'm now where I wanted to be and will keep doing this kind of work for as long as I can get away with it.