You should check out FusionAuth if you are looking at KeyCloak. We play in a similar same space (self-hostable, support for SAML, OIDC, OAuth2). I'd say KeyCloak has wider coverage for some of the more esoteric standards and is open source while we have a more modern API, dev-friendly docs, and great (paid) support.
FusionAuth is not open source, but you can self-host it for free and own your data[0]. Or let us run it for you. In the latter case, you still own your data--get it all from our cloud if you want to migrate.
I'm proud that the team wrote an offboarding doc[1]. It's your darn customer data, and every provider should support out-migration.
0: https://fusionauth.io/download
1: https://fusionauth.io/docs/lifecycle/migrate-users/offboard