It's an appealing thing in general, certainly. (Heck, one of the reasons Chocobo Hot and Cold is so fun is the way the chocobo gradually gets faster, in concert with the player legitimately getting more skilled at the mechanical part of the game.) But it's certainly not remotely unique to RPGs. Games such as Zelda, Metroid, Devil May Cry, etc., all very much feature an improving player character statistically, facing increasingly tougher enemies.
Still, as they bring up in the second episode, very few other genres actively encourage the player to grind to get more powerful. In Metroid, Zelda, Castlevania, Mega Man X, Devil May Cry, etc., the main way to get more powerful is just to find secrets. Some do have grinding to some extent (red orbs in DMC, item drops in Castlevania) but it's more limited than in most RPGs. So it's probably fair to say that statistically powering up as the game goes on is a bit of an RPG hallmark even if it's not one of the definining traits of the genre. One could even argue it's a necessary condition to be an RPG, just not a sufficient one. No other genre -requires- this (some platformers have it, but not all. A few racing games, but certainly not all. Some FPS, but not all. etc.), RPGs pretty much do. I've never played an RPG where the characters are statistically static throughout the game, although it seems at least possible that one might exist.
I think one of the reasons that JRPGs have declined in popularity somewhat is that some of the reasons people play them (that aforementioned progression, but also narrative storytelling, and to some degree open-world exploration) have been adopted by other genres. So you have people who really never liked RPGs mechanically (we have one or two here!) who have seen these other games and moved on.
