Main problems with hosting your own mailserver:

• Spam protection is not as good as with hosted options because you just don’t have the same scale of data
• Mail deliverability issues - Generally once you have setup everything (SPF, DKIM, DMARC) on a dedicated IP that is not from a residential ISP, it stays working but sometimes you find out that say live.com/hotmail simply won’t accept your mail and there is nothing you can do.

I do it, it’s not a complicated setup, I don’t even know what mailserver I used whatever Debian recommended (exim or postfix) , dovecot for Server->Recpient. I am a little more paranoid about my server than I would be otherwise (outbound firewall, apparmor profiles for anything that is listening, monit to alert on high CPU usage (anti spam sometimes goes crazy), but not anything that is too much effort (e.g I haven’t gone full hog with SELINUX, etc)