Not so. For around 1 year, I ran Moodle with moodledata in the same directory as moodle. Then, I finally learned how to move it outside. I am not an expert at this, but I think that the moodledata directory can be almost anywhere, as long as you tell moodle where it is in config.php, and as long as moodledata has the correct rights.
The problem might be that some of the hosting company's one-click installs for moodle put the moodledata directory in the moodle directory. It can be moved outside of the moodle directory through a variety of means, such as FTP, or more easily via SSH. When I did this many years ago, I first copied it to its new location, changed a line in config.php, my moodle was still working, then I renamed the original moodledata directory to something like moodledatax, just to see that moodle was using the new directory, then I removed moodledatax.
Recall that when doing a normal install of moodle, the install script asks for the location of moodledata.