I edited the comment, I really meant hosting server, not domain.
Having a custom domain isn’t a big deal, it’s really where that domain is hosted that creates forwarding issues. Since the majority of email is handled by the ‘big three’, anything that’s hosted outside of that is often flagged as spam or is refused to be delivered. That’s allegedly because there are malicious senders also hosted on third party servers (and fair enough, there likely are), but this causes a bit of a potential monopoly that could easily be abused, and there’s obvious motivation to push people into a particular service for data collection.
Even if it doesn’t happen often, occasional failures can be a huge problem if you’re sending critical communication and it isn’t reaching target inboxes because of filtering. It’s enough of a headache that even most avid self-hosters tend to avoid it.