SiteGuide (https://siteguide.ai/) was the first to do vector embeddings with Convex, built by integrating Convex + Pinecone. This combination has been an increasingly common pattern over the last few months. So we put a template project to demonstrate how this is usually done:
https://github.com/ianmacartney/embeddings-in-convex
We're strongly considering building in vector search a little further down the road, but this is the recommended approach for now.
So far our answer for folks who want alternative storage/query engines is to use our streaming Airbyte source connector or write directly to Pinecone, Snowflake, etc. This should work great for most devs.
There are likely always going to be some developers who want to use a particular third party database in addition to Convex, but we plan to expand built-in support for most workloads over time so that Convex is a truly full-stack backend replacement.