Just to provide some context, I'm pretty certain this is for HEO 1.0 (product formerly known as CloudGuard SaaS).
And yes, because this allows export of logs to an on-premise Security Management Server (not Multi-Domain, and not for R81 and above), theoretically this would allow you to use Log Export to put them in a SIEM.
Not sure you can do this for HEO 2.0.
Meanwhile, I know Smart-1 Cloud has specific SKUs to allow for Log Exporter to be run from the cloud.
I believe it also has to be configured by TAC.
There does not appear to be similar SKUs for HEO, however I do know that we are unifying the logs among our Infinity Portal offerings, so there may be a SKU/option for this in the future.