Both auto-forwarding and auto-reply are paid features, which makes cancelling & switching much more difficult. Gmail is a breeze comparatively. I highly recommend against using their addresses (e.g. protonmail.com, proton.me, pm.me)
Email forwarding is available for everyone with a paid Proton Mail plan.
(source)
Nothing is preventing you from changing those email addresses to the one you now have on your own domain.
The ignorance from OP is not vendor lock-in.
Yes there is it’s called procrastination