How do they do that? I thought OSM was licensed in such a way that if you combine it with other data, the whole thing needed to be released with the same license?
You are mostly right, except that in addition to the same license, the Share-Alike provision in the OSM license (the ODbL [0]) also enables derivatives to be re-released with "A compatible license."
I am not a lawyer, but I would assume someone at Overture has deemed their license (the CDLAv2 [1]) to be "compatible" with ODbL. (edit: From the link in OP, the OSM-based data is being released with ODbL. I think I'm wrong about license compatibility. Again, not a lawyer.).
CDLA Permissive is not downstream compatible with ODbL. ODbL is a sharealike licence, CDLA Permissive (as the name suggests) isn’t. Overture can’t relicense OSM-derived content under CDLA Permissive.
From a brief skim of the landing page, it looks like the OSM-derived content is not being offered permissively. See https://overturemaps.org/download/.