Datadog always builds their own event store: https://www.datadoghq.com/blog/engineering/introducing-husky...

It may not be named "database" but actually take the place of a database.

Observability vendors will try to store logs with ElasticSearch and later find it over expensive and has weak support for archiving cold data. Data Warehouse solution requires a complex ETL pipeline and can be awkward when handling log data (semi-structured data).

That said, if you're building an observability solution for a single company, I'd totally agree to start with single node PG with backup, and only consider other solution when data and query workload grow.