Tailscale doesn’t actually route through Tailscale’s servers, it just uses its servers to establish a direct connection between your nodes. You can use Headscale and monitor the traffic on the client and server sides to confirm this is the case. Headscale is just a FOSS implementation of that handshake server, and you point the Tailscale client there instead.
Doesn’t renting a $3 VPS and routing your traffic through that expose many of the same vulnerabilities regarding a 3rd party potentially having access to your VPN traffic, namely the VPS provider?
For what it’s worth, I generally think that the Headscale route is the most privacy- and data-sovereignty-preserving route, but I do think it’s worth differentiating between Tailscale and something like Nord or whatever, where the traffic is actually routed through the provider’s servers versus Tailscale where the traffic remains on your infrastructure.