What do grad schools want to hear about why I'm changing PhD programs?
I'd suggest that, as a guess, 95-99% of your application should be just as it was the first time, focused on your skills and likelihood of success in any new program. I think it would be a mistake to spend valuable words giving a bedsheet of reasons that you are unhappy. Even ignoring the issue altogether might be fine, if a bit risky, especially if you are crossing borders as part of your switch. You are &quot;looking for opportunities not available locally&quot;. If it comes up in an interview you might want to raise it.
The one thing you say, however, that might resonate, is that COVID limited your choices last time around and that you picked a less than ideal situation because of it. Also, if you are interested in pure, rather than applied, math, then a quick/short statement that your current institution supports that poorly might be fine.
But keep the focus on the skills and success part, just as you would if this is your first application. People won't choose you because they feel sorry for you but because you seem to be a good fit for their programs and a good bet for success.