You’d be surprised how many corporations send their own emails directly or use one of the smaller providers. I’ve checked the headers, and the majority of my utility bills, purchase receipts, itineraries, medical emails, and so on don’t go through Google or Microsoft, and these are the personal profile–building emails I care about keeping private the most.
To be clear, you’re talking about an outgoing mail server. An incoming mail server is pretty trivial to self-host and provides most of the benefits of self-hosting mail. The distinction is often lost in these discussions, which scares off a lot of people who in reality would have no trouble running their own MX.
Using a cloud provider with your own domain means going through a lot of the “hard” parts, yes (setting DNS records for DMARC/DKIM/SPF/MX mostly). But self hosting does provide benefits on top of that.
Hosting your own MX (the receive side) means a lot of private emails go straight to you: purchase receipts, utility bills, travel itineraries. You can have as many users/mailboxes/aliases as you like without having to pay more. You also get confidence that emails sent to you didn’t get silently treated as spam (cloud providers have disappeared enough 2FA code emails that I really care about this).
Sending emails directly also provides some benefits. You can guarantee that the email is sent with TLS, for example. Having logs to prove that my server sent a message and it was received and acknowledged by the receiving server has been useful to me a couple of times too.
A lot of the people who complain that their emails were treated as spam when they tried self-hosting leave out that they were really sending unsolicited commercial mail.
For personal email, self-hosting is much more manageable. Typically GMail will send those messages to spam at first, but after a few different mailboxes have clicked “not spam” GMail learns the lesson.