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Do you roll your own power grid? Do you roll your own ISP + telecoms network?> Roads, trains, water, electricity, internet
I guess the difference here is that you're (mostly) talking about physical infra, which by definition must be local to where it's being used. We allow (enforce?) a monopoly on power distribution (and separate distribution from generation) because it doesn't make sense to have every power company run their own lines. But with that monopoly comes regulation.
Digital services are different. The entire value prop is that you can have an infinite number and the marginal cost of "hooking up" a new customer is ~$0. This frequently leads to a natural winner-take-all market.
One way to address this is to add regulation to digital services, saying that they must be up x% of the time or respond to incidents in y minutes or whatever. But another way to address it is to ensure it's easy for new companies to disrupt the incumbents if they are acting poorly. The first still leads to entrenched incumbents who act exactly as poorly as they can get away with. The second actually has a chance of pushing incumbents out, assuming the rules are being enforced. And now you've basically re-discovered the current American antitrust laws.
As far as any individual company's best interests, like anything else in engineering, it's about risk vs. reward.
What's the cost of having a backup CDN (cost of service, cost of extra engineering effort, opportunity cost of building that instead of something else, etc.) vs. the cost of the occasional fastly downtime?
I have to imagine that for most companies the cost of being multi-CDN isn't worth what they lose with a little down time (or four hours of downtime every four years).