Your order gets routed, delayed, placed differently, and while you may not immediately see it, your trades are getting a different result than if you explicitly paid a brokerage who charges a commission on it.
Learn about "payment for order flow".
First paying a commission is not correlated with participation in order flow payment. Commissioned brokers also get paid for order flow.
Second if you interact with an internalizer your order will execute faster not slower. And you will usually be getting better price execution than if you try to route manually.
Third all brokerages have routing tiers that involve self matching/dark pools/contractual discounts etc. Most of them will let you pay for the privilege of using the same router the non-premium orders go through.
At the end of the day if your trade is that sensitive to execution you are not a retail customer and should not be using a retail brokerage.
Yes...the average retail customer submitting a market order will generally get a better fill with PFOF. This is what most people don't usually mention when talking about those terrible high-frequency trading firms.
E.g. if a stock is trading at 10.00x10.10 and I submit a market buy via Robinhood. Citadel or someone else is going to pick that up and sell it to me for, probably, 10.08 or 10.09. Not the 10.10 I would've paid on the open market hitting the offer. It's in fact illegal for me to get a worse (higher) fill than 10.10.