Disabling the Default Login
That's great, but that's the only Login interface that currently exists for Athena.
If you wish to disable the default login then you need to write your own login plugin that will replace the Discord one entirely.
Replacing MongoDB with SQL
It can be done; but replacing MongoDB with SQL will require a lot of work and it's really unnecessary.
It's better to just learn the functions that come with Athena and using the Database then spending several months replacing code that is in the core.
Do I need a server host?
No. You do not need a server host. It is recommended to start off on your own computer and developing your gamemode further before publishing it on to a server host. After performing these steps then you may move on to finding a server host.