Earlier quoted context omitted.
That is against their TOS. Upwork encourages you to do all messaging on the platform, and scans your messages for hints that you are trying to move work off the platform. If so, they give you temporary bans or other punishments. I'm not saying that no one does this, but Upwork are vigilant about it.
That sounds like a terrible environment to lock yourself into, but it also seems pretty ineffective. If I was temporarily banned for hinting that I was going to leave the Upwork platform, that would be a trigger to leave it even more quickly.
* Obtain a lead on Upwork
* Request moving off of Upwork to avoid fees
* Do subsequent payments through Paypal or similar.
In this case, you aren't moving off the platform entirely and banning you will hurt your lead generation.
[1] At least in the context of this specific case.