I think the better phrase would be "not your domain, not your email". I wouldn't recommend that people host their own mail servers due to the difficulty of setting up and maintaining, and using your own domain with another provider is a more reasonable compromise between convenience and security. This way, someone else handles your emails for you (ProtonMail in my case), but if they ever go offline/disable accounts/adopt a bad policy, I can move my domain to another service without having to re-register any accounts or missing any emails.
Don't want to take this too far off topic (I probably say that way too many times)
But the issue is that yeah, it's your domain you can move it from proton to gmail to Guerrilla Mail and so on, but you still are subject to their rules.
Running your own mail server is time consuming, annoying, easy to screw up, stressful and 1000 other things that will cause you to loose your hair, loose sleep and who knows what else. On the other hand, when someone sends you something you know what happened to it.
If you accept the fact that occasionally because it's not your server you might not get something that's fine. Most people are, but when it's important and you don't get it then too bad.
I'm a nerd, I'm good with that fact so yes I do run my own server.
I also know that if it explodes how to route around the issue.
I have seen too many people loose / not get important emails because they were hosting at a place that decided to black hole stuff because they felt like it that day. And then complain about it. Sorry, you knew the rules going it.
Sorry for the rant, it's just one of those things that sets me off.
-Dave