The difference with SQL is that it's not like storing vector embeddings outside your perimeter suppose a big compliance issue --at least in security or legal terms. Giving up control of their data and network latency are legit concerns, that's for sure.
While Pinecone isn't available as a self-hosted option (see many comments with alternatives), we do offer the option of running Pinecone for you on a managed VPC, and we do have SOC2 compliance, and we do pass enterprise-level security reviews regularly. Whether that's sufficient is up to you of course.