The biggest problem with self-hosting a mail server is reliably being able to send email and have it be delivered to the recipient. Something I have been thinking about setting up is self-hosting a dovecot server so that all of my emails that I receive are on my system, but using another provider for sending email. I don't send that many emails, so there is not much privacy loss in regards to a third-party being able to see my sent emails, but I still get the benefit of noone but me having access to my received emails.