Indeed. The fact that nobody seems concerned about Github/Microsoft monopoly is concerning to say the least.
Monopoly: the exclusive possession or control of the supply of or trade in a commodity or service.
Github does not have in any sense exclusive possession or control of hosted version control. It is a popular choice, that's it.
When you're moving from a self-hosted system to a proprietary system, you can do the work yourself to make sure there are redirects from the old URLs to the new ones.
That option isn't likely to be available when you're moving the other way.
I observe that github is happy for you to "bring your own domain" for github pages, but AIUI issue and PR URLs are always under github.com .
I am worried about what happens if, or when, Github's owners decide it's time to stop caring about having a good reputation and instead squeeze it for as much profit as possible (what we seem to be calling "enshittification" these days).
Pointing git remotes somewhere different shouldn't be a huge pain, but all those issue trackers are a different matter.