They should have a feature where you can provide it an S3 URL or EBS snapshot when launching an instance, and the control plane would write it to the local ephemeral direct-attach volume on launch.

Currently if you wanted to do that you'd have to roll your own with a minimal EBS as your root volume containing iPXE or some other minimal OS that is capable of formatting the direct-attach NVME and populating it before passing control to it (via kexec/etc?).

But I guess since EBS incurs additional cost, there's no incentive for them to make it easier to move away. I bet that in aggregate they're making quite good money off mostly unnecessary EBS volumes that don't actually contain any useful data.

This is a problem when IO operations have to be sequential and can't be parallelized such as when they depend on each other (database has to first read the index to know where the actual data is, then do another IO to actually read said data).

Having lots of IOPS could allow you to make multiple of these queries in parallel (assuming locking/etc doesn't get in the way), but it still means every individual query would be slower than on direct-attach storage.