Exactly. Whether you control the underlying operating system (or network connection) or just the content at the application layer, you're still relying on someone else. If you don't have good content to share, it's moot anyway.
At the end of the day, any service trades control for convenience/access. I run a podcast hosting service that's slightly more expensive than hosting yourself with WordPress. Paying me to host your show gets you a platform that's had 99.999% uptime for years. You don't need to think about renewing your domains or certificates or installing WordPress/Apache/nginx/Ubuntu/whatever updates. You don't need to think about how to get accurate analytics or filtering out automated requests from your log data. You don't need to worry about your show being protected by a single auth factor. If your time is worth $60/hr and my service is $10/mo, is your podcast taking more than two hours a year of your time (minus hosting costs)? Some people don't want to make that tradeoff and that's fine, but it's simply a better choice to find a third party that you trust to do stuff for you.
At the end of the day, any service trades control for convenience/access. I run a podcast hosting service that's slightly more expensive than hosting yourself with WordPress. Paying me to host your show gets you a platform that's had 99.999% uptime for years. You don't need to think about renewing your domains or certificates or installing WordPress/Apache/nginx/Ubuntu/whatever updates. You don't need to think about how to get accurate analytics or filtering out automated requests from your log data. You don't need to worry about your show being protected by a single auth factor. If your time is worth $60/hr and my service is $10/mo, is your podcast taking more than two hours a year of your time (minus hosting costs)? Some people don't want to make that tradeoff and that's fine, but it's simply a better choice to find a third party that you trust to do stuff for you.