To answer your main question/title more directly: I would say No! It’s not “better” because I don’t see a need or a use case or necessarily an advantage to have your own VPN. If you have very specific needs, you know what you’re doing and why and one wouldn’t necessarily be posting/asking such a question here. But since you are, I would say this: I think you’re over complicating your privacy set up and digital life. You are of course most certainly welcome to do so if you have certain highly specific reasons. As you can assume, this hands-on approach is best suited for developers and site owners with at least SOME technical experience. Your hosting support is not involved in your day-to-day operations, nor can they help you in case of issues. Still, if you know what you're doing, a self-managed VPS can easily be your best choice.
