@natacha you can certainly still get challenged.
The great and beautiful thing about the fediverse is anyone can set up their own instance on whatever hardware they have lying around or on a cheap VPS and interact with the rest of the fediverse on an equal level.
Having your own instance does indeed protect you from being blocked from your own instance, but you're still at risk of being blocked by other instances in the same way anyone else would be.
That's OK though, as @aral says, it's the same as real life communication.