With Snowflake data is locked away in a proprietary format not accessible by other compute platforms. You need to export/copy your data to a different system to train an ML model in python or R. With the Databricks, you can use python, R and Scala, (not just SQL) to interface with your data. You can use multiple compute engines (Spark, presto and other engines that support Delta) so you are not locked into one compute engine.