The fact that BlueSky runs the PLC central server is supposed to be fixed by them creating a swiss association to run and control it instead, but while they announced this, it is unclear if it went anywhere.
If you migrate to a self hosted PDS using the all-in-one migration `goat account migrate` command, it will temporarily change your handle to a subdomain of your new PDS, and leave the new PDS managing the PLC. You can instead perform each step manually via goat or raw API calls, either of which would let you transition to direct PLC key management, and/or a new domain based handle as a single atomic plc update, as part of the overall migration process.
See https://atproto.com/guides/account-migration for a discussion of the process at the protocol level. See https://whtwnd.com/bnewbold.net/3l5ii332pf32u for a breakdown of both the automated, and step by step process via `goat`. It does not go into the details of switching to self managed, but it basically requires crafting your new PLC document, sending that one to the old PDS to sign, and then submitting the result. There are manual PLC signing, and submission commands available as `goat plc` subcommands, for use once you have manual control.