In the Bluesky implementation, this is Bluesky for convenience’s sake, to make it possible for users to easily sign up. (I’m not sure internally if it’s part of the PDS or held separately.)
PLC has a mechanism allowing “higher” keys to override “lower” ones within a certain time window, so being able to add your own rotation key that “outranks” Bluesky’s would solve this issue.
Alternatively, use web DIDs and then it’s fully self-managed just as DNS would be.