I've owned a domain for 20 years and always had my mail hosted by one of the web hosting companies. I've used a couple hosting providers, but to be honest, I'm not certain how they've handled my mail in terms of privacy. It never seemed "non-optimal" to own the domain. I still think using gmail or other free services is a bad idea, but i don't generally say it out loud much anymore. People react negatively because they don't want to consider whether the services they depend on are misusing their personal information.