Not really.

I could switch to Figma from Sketch very easily because I could upload my Sketch files in Figma and Figma could deconstruct them into layers and elements with even layer names intact!

Vice versa? No.

Even Photoshop files .PSD are readable in many other photo editing apps.

Figma.. no never.

I thought “if you’re in the EU, make a GDPR request for your data”.

However, the only page I found is https://help.figma.com/hc/en-us/articles/360041060434-Genera..., which says they’re committed to your privacy, but doesn’t mention data portability.

even if they don't mention it, GDPR still applies and yours could be an interesting approach