Generally yes, given the reasons others have said. Other than that, at the very least, outages can be dealt with more proactively when you have your own setup. Third parties won't have the same priorities that your company does.
Our Plus plan Service Level Agreement (SLA) guarantees a 99.99% monthly uptime1
We’ve designed our SLA to be simple and transparent — based directly on the information we make publicly available on
Slack’s System Status page.
If we fall short of our 99.99% uptime guarantee, we’ll refund customers on the Plus plan 100 times the amount your
workspace paid during the period Slack was down.
Chat is a commodity these days. For most businesses, it probably makes more sense to just let the companies in the business of offering paid chat services do their thing.
Pretty much, if you don't own the service, you don't get to decide where in the queue you are for a fix.