They actually have zero documentation I can find for using DenoKV outside of the Deno Deploy environment. It may be possible, or you can always use Deno without using DenoKV, but I think the statement "you have to use their hosted service" isn't inaccurate.
The first page of their documentation [0] mentions this:
> Opening a database
> In your Deno program, you can get a reference to a KV database using Deno.openKv(). You may pass in an optional file system path to where you'd like to store your database, otherwise one will be created for you based on the current working directory of your script.
In fact, only the last page in the documentation speaks about KV on Deno Deploy.
Passing a path to the local filesystem for the SQLite database only applies to local development; it does not speak to how to connect to e.g. a remote-hosted FoundationDB cluster.
But, I think this section hints at how it could be done [1]. Its phrased in the context of connecting to the DenoKV-hosted database from outside Deno Deploy, but it seems like the reverse could also be accomplished with the same API.