Substack handles paid subscriptions, which is distinctly non-trivial to "host your own". They've also publicly advertised a strong anti-censorship position, and a lot of their userbase will abandon them if they change stances.
While it's certainly a possible concern, not all platforms descend in to censorship. I think it's reasonable to wait until there's at least warning signs before criticizing a specific site.
> We reserve the right to remove any content from Substack at any time, for any reason (including, but not limited to, if someone alleges you contributed that content in violation of these Terms), in our sole discretion, and without notice.
A lot of platforms unfortunately have these blanket disclaimers. Fortunately Substack hasn't gone down that road yet, while Twitter, Facebook and Google are already over the horizon.
> Big tech has gotten too powerful, and they can silence us anytime they want.
Substack is well on its way to becoming part of "big tech" and is yet another platform you don't control.
Setting up your own blog will not protect you from any and all threats but it makes arbitrary "suspensions" very difficult.