A custodial platform controls the keys and records your claim in its internal system. You rely on the platform's solvency, controls, withdrawal policies, and account access.
In self-custody, your wallet controls the keys needed to spend the bitcoin. This removes some platform dependence but creates direct responsibility for backups, malware resistance, inheritance, and transaction accuracy.
The decision is not a morality test. Choose a structure whose failure modes you understand, then reduce concentration and complexity as your knowledge improves.