We've established accounts and histories on Lemmy. Those things are nice but PieFed isn't stable or proven yet, and the upcoming Lemmy 1.0 release should have some of this.
But Piefed also has some advantages by being a new/smaller project and both projects inspire each other, as pointed out by nutomic in this thread of the AMA.
Lemmy is a very large project already, so it takes a lot of effort to implement new features, because they have to meet high standards for quality and performance and also work together with all the existing features. A project like Piefed is much smaller and can implement new features more quickly. This allows for more experimentation, and successful features can later be added to Lemmy.
Sure, doesn't change the fact that switching takes effort, and we lose our comment and post histories. And then we have to rediscover all of our feeds...
Don't get me wrong I hope their development goes well, but I (and I think a lot of people) aren't going to switch just because there's a few new features in PieFed. But who knows, one day that could change.
This is also somewhat true of switching Lemmy instances, but switching to PieFed is far more so due to not only lacking the export+import JSON feature but also the entire model of subscriptions and such is different.
Imho, the feature set makes it worthwhile.
To anyone on the fence I suggest: just make an account, if only to check it out. The signup wizard alone will probably strongly entice you to stay, but if not then no loss.
The important thing is not what platform we all choose to use, but to gain knowledge and experience communicating with one another across the Fediverse:-).