If you invest yourself in your blog and take time out of your life to maintain it properly then it's not unreasonable to expect control over your work. If Tumblr goes down for half a day then that means nobody can visit your site, and if you have something that needs to be posted as a matter of urgency then you're stuffed until it comes back up.
Plus, what happens when Tumblr goes out of business?
I suppose it is disconcerting that Tumblr don't just let you export your data from the dashboard, but it's not at all difficult to do, and it's not at all hacky.
Tumblr is one of the simplest api's I have ever worked with, though. To decide not to use it because there isn't some one-click dashboard csv export or migration tool.. that's such a weird decision. That's like saying I don't want to use [redacted social networking site] because it doesn't feature [one-click-tool] to move to [alternative redacted social networking site]. I mean, I guess. But, if your concern is about ownership of the data and you're treating their service/app as a datasource, I'm sorry but you're going to have to get your hands a little dirty to export that data into your preferred format.
However, it is a bit concerning that there is no built in tool for laymen. It seems like tumblr needs more hires.
My favourite is tag pages only up to 15. So if you have 300 items under a given tag, you can only sort of see 225 (at 15 items per page).
Someone else might find this screenshot quite ironic. A response article, "Why Tumblr" and Tumblr failing to display it.