There are exceptions.
I am using a Hosting Provider where i can configure the MySQL-Database(s) to be accessible from outside. This can used to directly access the Database using jdbcsql (which is not recommended). If you need to use jrdc2 you need to have a PC/VPS running.
But i agree: Most providers does not support it so a VPS is the solution here.
typically u can use php or asp.net at server side to provide data by http request. Lib OkHttpUtils2 can do this requests for download & upload.
jRDC2 is much better to access Data and a VPS is more expensive than web hosting.