They must oblige within a certain time frame — even if your account has been suspended and I believe even if you've deleted your account. Curiously, this might be one effective way to protest. Golly I wonder what would happen if many people requested such reports simultaneously. It seems these must be processed manually by admins.
As a bonus, it's nice because all your comments and messages are searchable.
I really doubt an automated database dump is going to hurt them a whole lot. However, if you're looking to eliminate everything you've ever posted (and I mean everything, not just the few recent posts you see on your profile), redact.dev (possibly others too) can use that zip to find all your posts and comments and edit/delete them.
Now I'm not saying you should delete your data. I know many people believe that leaving it there benefits humanity as a whole or whatever, but if you are going to do it that's the only effective way.