Even if you had your own domain, their ToS would prohibit you from collecting email addresses of "your" audience. Because in their lawyer's opinion, it's not yours.
Substack’s docs show an option to export email addresses—I would presume that would mean you could move your subscriber list to another email platform if you wanted to?
Followup here: I double-checked with some others who publish with Substack, and [you can export your Substack subscribers](https://capiche.com/q/what-did-you-use-to-start-a-paid-newsl...). At least that keeps the lockdown a bit lower (though of course you would have to get subscribers to pay again at a new site, which would likely lead to high levels of churn).