Mostly because my files stay on my hardware, on my network. In case of internet down/broken/filtered I can still access all my data. That is one of the points of self hosting. Not the only one, granted, and maybe not even the most critical, but having the opportunity, better to host on your turf.
Go ahead the self host on a cloud somewhere, nothing bad about that! Have fun, enjoy, learn and be digitally independent is the core of self hosting.