If you want to have your data yourself, self-hosted mail system is a way to go.
In terms of privacy, the experience is good. I must warn, though, it's quite unpleasant in terms of dancing pigs and bunnies[1]. You won't get anything fancy. The age of protocol development had passed long ago and mail protocols (IMAP) aren't evolving anymore. Almost all the modern stuff is proprietary to services and their APIs and clients.
This limitation doesn't apply to mail filtering and automated parsing, though. Mail filters and processing for self-hosted email is way more powerful one can normally get with third-party services.