Redshift is like a prison, but with excellent accommodations. It's a great platform but it pretty much the perfect example of vendor lock-in.
Put your data in S3, in csv/tsv/json format, if you want to switch to other provider, just figure out how to import it, and your are all set. How to figure out the limitation of the different platforms and tuning and optimizing is the difficult part.
Data migration is almost always painful and time-spending. When choosing your data provider, you have to be careful because it is very likely to be a long-term commitment. In that sense, in DW world there is always vendor lock-in. Only it is largely driven by the essence of the application itself, less so by the intention of the provider.
Really, vendor lock-in is pretty much a given with data warehousing platforms. Though these days, it's not uncommon for large companies to have multiple DW platforms all pulling data from each other. When one platform falls out of favor, the users just migrate themselves to another since most reporting systems not made by SAP or Oracle are compatible with pretty much everything.
As to SQL language differences, no DW platform uses "standard SQL", just as no two RDBMS use the exact same SQL dialect.
I dare say database platform lock-in is a universal issue. Any migration will involve effort.