How is this lock-in? AWS is using a common third party hardware device and the third party APIs. The AWS hosted HSMs can replicate the keys to on-premise HSMs - easy to export your keys back out of AWS. That seems to be the definition of Open, not Lock In.
VPC is simply a virtual networking environment. The HSM has an IP address on the network - applications address the HSM via IP address or DNS Hostname. Open industry standards. Not seeing how this is lock in.