Internal storage for consoles, sure. For so many of their other devices, handhelds, music players, digital cameras...they've done proprietary storage stuff that negatively impacted consumers by trying to force adoption of their formats as standard by using their position in the consumer electronics market and locking out less affordable options. Honestly, at the end of the day none of them are all that pro-consumer.
The only one I know of, was the Vita. And that was probably due to cost and needing to recoup, much like how cheap the S is with low internal storage compared to the X, and external storage upgrades cost almost as much as the console. To recoup costs.
The PSP and Cameras they licensed out their storage devices to all memory companies. I had SanDisk for most of my Sony cameras, players, PSP, etc.. Sure they tried with new formats, but also ushered in great ones like DVD/BR, etc..
But for home consoles, which pertains to this discussion, they've always been open on storage. Hell, even the PS3's first run had multiple card readers.