Hi Monad,
I’ve migrated sites from SG to Local, can’t remember if I’ve done it in reverse. I’ve always done it without the migrator plugin by doing a search and replace of the db once the restore has been successful - but that can be a bit of a pain. If you are just starting, getting their migrator plugin is probably a good idea.
I haven’t personally run into any issues with UpdraftPlus and SG.