This is anecdotal but I decided to host my own sites. I bought the cheapest droplet from digital ocean that I could and I set it up running Fedora. Then I installed Apache, MySQL and PHP so I could run some wordpress sites.
The server kept running out of memory and shutting down MySQL so my sites stopped working. I started to learn how to read logs and saw that there is a huge amount of malicious activity directed at my server all the time.
Yesterday I installed Fail2ban which meant installing postfix. I got it working (took most of the day) but I can't send emails to my gmail account because I need to set up dkim and dmarc and other stuff. I have a list. But first I have to learn how to do all this stuff.
I use Fedora every day at work but I'm obviously no sysadmin and you are so right. All this takes hours and hours to learn and then to stay on top of it. When I was on shared hosting I had a lot less control and options but it was a lot easier as well.