Hi @Marty_Ferguson,
You are correct. If you want to copy or move data from one cloud to another it cannot be done directly. You need to first download the data and then move/copy it across. I go into this a bit in this thread here: Copying from Cloud to Cloud
This shouldn’t cause you to lose data, since the source data will still exist in the cloud. It will prevent that source data from being uploaded to the destination, however.