The main problem is giving out the anchor.fm domain for your RSS feed, as it marries you to Anchor forever. In theory, you can get anchor to 301 redirect your subscribers somewhere else, but I've found that podcast clients tend to keep the old URL.
You can use Anchor to generate your RSS feed and host your content while still sharing the RSS URL on a domain you own. So you'd give out a URL like feeds.deepdreams.com/rss, and it would proxy the response from Anchor's RSS feed
I wrote a simple Go cloud function that can proxy your Anchor RSS URL for you: