Mendix does not force you to store files in a local storage. Mendix makes it very simple to store files in a local storage. However, if you want to store it elsewhere you have multiple ways to solve this problem. You can write a custom widget which writes you file from the browser directly to the external storage. Otherwise, you can use Mendix built in functionality to store file in a local storage, and then via an after commit microflow move it to the storage of your choice. We follow the second approach to move files to AWS S3.
Mendix has modules to connect to a SFTP Server, so you can store the location of the file in the Mendix database, and not the file itselfs