If I choose hosted how hard is switching to self hosted and how hard is it to mix?

I am exploring monitoring services and want to know how hard migration is.
The other exploration I want to know is whether you can use both on-perm for sensitive data and hosted for less sensitive data.

I don’t know about data export or migrations, especially from SaaS. That said if you have sensitive data, instead of trying to split things, I recommend looking into Relay first.