It is true yes, that's why the generated blog have a canonical link to medium so that the SEO isn't impacted. So you won't get any SEO for the articles that have been created on Medium but if you create one on your blog first and then import it on Medium (using the import tool, not copy pasting the content), Medium will be nice and put a canonical link pointing to your blog.

Unfortunately, it's not possible to set a canonical link on Medium a posteriori.