When you use third-party services, the government can go to them. The third party might not fight the request the same way you would. And, you might not even know it happened. The third party might be expressly forbidden from telling you it happened, in fact.
This was why Hillary Clinton wanted to host her personal email in her basement. A physical server that she owned, on property she owned; there was no legal way to request that data without going to her personally. If she had used the State Dept server for her personal email, Congress could have accessed all her personal emails simply by asking State to send them over.
That’s a controversial example, but the same principle is followed by many companies and organizations who have kept some portion of their data self-hosted. It’s often email or some core of file storage that they consider legally sensitive.
This is getting harder to do, though. Look at the recent revelation that the government tried to get newspaper email metadata from Proofpoint, a spam filter provider. Self-hosting a good spam/phishing filter seems almost impossible in 2021, because of the huge amounts of data needed to train filters well.