there is a middle ground between proprietary models and self-hosting: Fireworks, et al. Popular models like DeepSeek have a couple dozen providers on openrouter.
I trust ( although some don't ), Anthropic not to be doing that. I don't trust intermediate providers so much. If you're self-hosting then at least you know exactly what is running and get privacy on top.
Likewise you lose privacy of local hosting, and if it emerged that a provider was training on data they shouldn't be, would you have the necessary legal recourse, that you would going direct to the major model providers?