My understanding is that Bluesky is a service built on top of a decentralized protocol, ATProto. This allows users to use alternative hosts for their data instead of the bluesky servers, but if you're using Bluesky then they still hold your data.

I also think the private DMs might be hosted externally to ATProto because that is all meant to be public information or something.

I would assume that the age verification is built at the app layer, so you could use an alternative app (I think they call them AppViews?) to get around the age verification thing. Don't know if alternatives really exist today though, there are probably some.