A large part of my listening on YouTube Music is going to a particular song or band I like and clicking "Radio", which generates a playlist of similar sounding songs. You can then fine tune it with a filter i.e "Popular songs, deep cuts" or specific elements of the song "More emo", "Slow paced" etc. This exposes me to a lot of new music and keeps it fresh and if I'm lucky I'll discover a new artist or song to add to my rotations.
You lose that.
A lot of these services overtime build mixes which takes your listening habits and tries to categorize them into specific mixes made up of your existing library & new music.
I don't browse any music forums and so apart from my favourite bands, I have no idea on when artists I like release new albums and would not encounter them on a self hosted solution, etc.