switching to another ROM on a phone with non re-lockable bootloader is a downgrade from the stock ROM?
It depends on your goal. If you plan to have any kind of boot / data security and the device can’t be re-locked with an alternative ROM you’re essentially better with the stock ROM in a locked state.
Now that’s kind of personal choice, I believe the instant damage done by someone stealing your phone and getting your data (because your bootloader was unlocked) is considerably larger than the privacy implications of running the stock / vendor Android. For what’s worth if you can root your stock Android and firewall everything that seems suspicious it might be better than running an alternative ROM without a secure boot. Even with an alternative ROM you can run into privacy issues, take for example here CalyxOS running on Qualcomm CPUs. What’s interesting here is that this issue doesn’t happen in Graphene because they’re actually better at covering all grounds than CalyxOS and others seem to be.