If it's data security or something else that's your concern, you can host the data in your own database with their enterprise package.
General disclaimer: I'm a paying Auth0 customer but just use it for authentication, and it saved me a hundred hours of work for a pretty reasonable price.
Only on HN will you be told "you're an idiot if you outsource your auth" and "you're an idiot if you roll your own auth" by the same group of people.
It’s something easy to get wrong, and has a long tail of work which is extremely generic (supporting all the different social logins, two factor authentication, password reset emails, email verification, sms phone number verification, rate limiting, etc...)
Incentives are perfectly aligned there, and if anyone can keep a system running and secure (to everyone except the US military which can compel them), it's them.